Pricing American Options - an Important Fundamental Research in ...

An Exact Solution in Series Expansion Form
With p = 0, we have, from the differential system *
⎧
L[ ¯V (x, τ, 0)] = L[ ¯V 0 (x, τ)],
¯V (x, 0, 0) = ¯V 0 (x, 0),
⎪⎨
¯V (0, τ, 0) + ¯S f (τ, 0) = 1,
⎪⎩
∂ ¯V
∂x (0, τ, 0) + ¯S f (τ, 0) = 1 + ∂ ¯V 0
∂x (0, τ) − ¯V 0 (0, τ),
lim ¯V (x, τ, 0) = 0.
x→∞
IWIF-II www.swingtum.com/institute/IWIF PPT 39/68
Song-Ping Zhu, SMAS, April 26, 2007 0-38