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

More documents

Recommendations

Info

Examples and Discussion 1 x 10−5 0 −1 Dimensionless V n value | −2 −3 −4 n=24 n=25 n=26 n=27 n=28 n=29 −5 −6 −7 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Logarithm of the dimensionless stock price Dimensionless option prices with six different total summation numbers inIWIF-II Example 1www.swingtum.com/institute/IWIF PPT 58/68 Song-Ping Zhu, SMAS, April 26, 2007 0-57
Examples and Discussion 100 90 80 70 τ=1.000 Year τ=0.738 Years τ=0.508 Years τ=0.249 Years Option Price ($) 60 50 40 30 20 10 0 0 20 40 60 80 100 120 140 160 180 200 Stock Price ($) Option IWIF-II prices at www.swingtum.com/institute/IWIF different times to expiration inPPT Example 59/68 1 Song-Ping Zhu, SMAS, April 26, 2007 0-58
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 9 and 10: Review of Various solution Approach
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 51 and 52: The Solution for the Option Price
Page 55 and 56: Examples and Discussion Verificatio
Page 57: Examples and Discussion 100 95 90 A
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
show all

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

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?