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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Examples <strong>an</strong>d Discussion<br />
Example 1:<br />
Use the same example used <strong>in</strong> Wu <strong>an</strong>d Kwok (1997) <strong>an</strong>d Carr <strong>an</strong>d<br />
Faguet (1994):<br />
Strike price X = $100,<br />
Risk-free <strong>in</strong>terest rate r = 0.1,<br />
Volatility σ = 0.3,<br />
Time to expiry T = 1 (year).<br />
In terms of the dimensionless variables, the two parameters<br />
<strong>in</strong>volved are γ = 2.2222 <strong>an</strong>d τ exp = 0.045.<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 56/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-55
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