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 />
40<br />
38<br />
Eq. (23) <strong>in</strong> Bunch <strong>an</strong>d Johnson (2000)<br />
CRR(800) <strong>in</strong> Cox. et. al. (1979)<br />
Analytical Solution<br />
36<br />
Optimal Exercise Price ($)<br />
34<br />
32<br />
30<br />
28<br />
26<br />
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1<br />
Time To Expiration (Years)<br />
Optimal IWIF-IIexercise www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF prices for the case ExamplePPT 2 62/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-61