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

More documents

Recommendations

Info

Examples and Discussion Example 2: This is the same example used in Bunch and Johnson (2000) (For this example, Bunch and Johnson have compared theirs results with those generated by the binomial method) Strike price X = $40, Risk-free interest rate r = 0.0488, Volatility σ = 0.3, Time to expiration T = 1 (year), In terms of the dimensionless variables, the two parameters involved are Relative risk-free interest rate γ = 1.084, Dimensionless time to expiration τ exp = 0.045. IWIF-II www.swingtum.com/institute/IWIF PPT 60/68 Song-Ping Zhu, SMAS, April 26, 2007 0-59
Examples and Discussion 40 38 The number of terms summed up in the series expansion = 29 The number of terms summed up in the series expansion = 30 36 Optimal Exercise Price ($) 34 32 30 28 26 0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1 Time To Expiration (Years) Convergence IWIF-II of www.swingtum.com/institute/IWIF the optimal exercise price Example PPT 61/68 2 Song-Ping Zhu, SMAS, April 26, 2007 0-60
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 and 58: Examples and Discussion 100 95 90 A
Page 59: Examples and Discussion 100 90 80 7
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 ...

Create successful ePaper yourself

Delete template?

Save as template?