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

An Exact Solution in Series Expansion Form
The convergence criterion is
Convergence of the series
lim ( m
m→∞ m + 1 )| ¯V m+1
|p < 1,
¯V m
for p ∈ [0, 1], according to the d’Alembert’s ratio test.
This is thus equivalent to
lim | ¯V m+1
| < 1.
m→∞ ¯V m
Numerical evidence will be provided to support the satisfaction of
this convergence criterion.
IWIF-II www.swingtum.com/institute/IWIF PPT 54/68
Song-Ping Zhu, SMAS, April 26, 2007 0-53