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

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Examples and Discussion 100 90 Optimal Exercise Price Calculated From the Analytical Solution Perpetual Optimal Exercise Price 80 Optimal Exercise Price ($) 70 60 50 40 Perpetual Optimal Exercise Price=$33.33 30 0 5 10 15 20 25 30 35 40 Time To Expiration (Years) Optimal IWIF-IIexercise www.swingtum.com/institute/IWIF price for the case Example PPT 3 66/68 Song-Ping Zhu, SMAS, April 26, 2007 0-65
Examples and Discussion 100 90 80 70 τ=40.00 Years τ=29.50 Years τ=20.33 Years τ=9.942 Years Option Price ($) 60 50 40 30 20 10 0 0 50 100 150 Stock Price ($) Option IWIF-II prices at www.swingtum.com/institute/IWIF different time to expiration in PPT Example 67/68 3 Song-Ping Zhu, SMAS, April 26, 2007 0-66
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Faculty of Informatics, University
Page 3 and 4:
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 15 and 16: 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 and 64: Examples and Discussion 40 35 30 Op
Page 65: Examples and Discussion Example 3:
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