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

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Examples and Discussion 1 0.9 0.8 Dimensionless Option Price 0.7 0.6 0.5 0.4 0.3 γ=2.2222 γ=1.084 0.2 0.1 0 0 0.5 1 1.5 2 2.5 Dimensionless Stock Price A comparison IWIF-II www.swingtum.com/institute/IWIF of dimensionless option price withPPT different 64/68 γ values Song-Ping Zhu, SMAS, April 26, 2007 0-63
Examples and Discussion Example 3: This is the same example used in Bunch and Johnson (2000), except with a very long life time. Strike price X = $100, Risk-free interest rate r = 0.01, Volatility σ = 0.2, Time to expiration T = 40 (years), In terms of the dimensionless variables, the two parameters involved are Relative risk-free interest rate γ = 0.5, Dimensionless time to expiration τ exp = 0.4. IWIF-II www.swingtum.com/institute/IWIF PPT 65/68 Song-Ping Zhu, SMAS, April 26, 2007 0-64
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Faculty of Informatics, University
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Background What is an option? What
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Review of Various solution Approach
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A Figure in Zhu and Zhang (2007b) 1
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Page 13 and 14: 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 and 60: Examples and Discussion 100 90 80 7
Page 61 and 62: Examples and Discussion 40 38 The n
Page 63: Examples and Discussion 40 35 30 Op
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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