Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
Pricing American Options - an Important Fundamental Research in ...
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An Exact Solution <strong>in</strong> Series Exp<strong>an</strong>sion Form<br />
When p = 1, the differential system * becomes<br />
⎧<br />
L[ ¯V (x, τ, 1)] =<br />
1 ∂ ¯S f ¯V<br />
(τ, 1)∂ (x, τ, 1),<br />
¯S f (τ, 1) ∂τ ∂x<br />
⎪⎨<br />
¯V (x, 0, 1) = 0,<br />
¯V (0, τ, 1) = 1 − ¯S f (τ, 1),<br />
⎪⎩<br />
∂ ¯V<br />
∂x (0, τ, 1) = − ¯S f (τ, 1),<br />
lim ¯V (x, τ, 1) = 0.<br />
x→∞<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 41/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-40