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

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A Numerical Example Used in Zhu and Zhang (2007b) Strike price X = $100, Risk-free interest rate r = 0.1, Volatility σ = 0.3, Time to expiry T = 1 (year). IWIF-II www.swingtum.com/institute/IWIF PPT 6/68 Song-Ping Zhu, SMAS, April 26, 2007 0-5
A Figure in Zhu and Zhang (2007b) 100 95 O Zhu and Zhang’s numerical solution Zhu(2006b)’s analytical solution Optimal Exercise Price ($) 90 85 80 75 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Time to Expiry (Year) A comparison of optimal exercise prices with two different approachesIWIF-II www.swingtum.com/institute/IWIF PPT 7/68 Song-Ping Zhu, SMAS, April 26, 2007 0-6
Page 1 and 2: Faculty of Informatics, University
Page 3 and 4: Background What is an option? What
Page 5: Review of Various solution Approach
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 and 58:
Examples and Discussion 100 95 90 A
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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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Pricing American Options - an Important Fundamental Research in ...

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