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

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An Exact Solution in Series Expansion Form Comparing this PDE and the original one we were trying to solve, it is obvious that the solution we seek is nothing but ⎧ ⎨ V (x, τ) = ¯V (x, τ, 1), ⎩ S f (τ) = ¯S f (τ, 1). IWIF-II www.swingtum.com/institute/IWIF PPT 42/68 Song-Ping Zhu, SMAS, April 26, 2007 0-41
An Exact Solution in Series Expansion Form To find the values of ¯V (x, τ, 1) and ¯S f (τ, 1), we can now expand the functions ¯V (x, τ, p) and ¯S f (τ, p) as a Taylor’s series expansion of p ¯V (x, τ, p) = ¯S f (τ, p) = ∞∑ m=0 ∞∑ m=0 ¯V m (x, τ) p m , m! ¯S m (τ) p m , m! IWIF-II www.swingtum.com/institute/IWIF PPT 43/68 Song-Ping Zhu, SMAS, April 26, 2007 0-42
Page 1 and 2: Faculty of Informatics, University
Page 3 and 4: Background What is an option? What
Page 5 and 6: Review of Various solution Approach
Page 7 and 8: A Figure in Zhu and Zhang (2007b) 1
Page 17 and 18: A. Basso, M. Nardon and P. Pianca
Page 19 and 20: 1 γ=5 0.9 0.8 0.7 B(τ) 0.6 0.5 0.
Page 27 and 28: An Exact Solution in Series Expansi
Page 41: An Exact Solution in Series Expansi
Page 51 and 52: The Solution for the Option Price
Page 55 and 56: Examples and Discussion Verificatio
Page 57 and 58: Examples and Discussion 100 95 90 A
Page 59 and 60: Examples and Discussion 100 90 80 7
Page 61 and 62: Examples and Discussion 40 38 The n
Page 63 and 64: Examples and Discussion 40 35 30 Op
Page 65 and 66: Examples and Discussion Example 3:
Page 67 and 68: Examples and Discussion 100 90 80 7

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