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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A Figure <strong>in</strong> Zhu <strong>an</strong>d Zh<strong>an</strong>g (2007b)<br />
100<br />
95<br />
O<br />
Zhu <strong>an</strong>d Zh<strong>an</strong>g’s numerical solution<br />
Zhu(2006b)’s <strong>an</strong>alytical solution<br />
Optimal Exercise Price ($)<br />
90<br />
85<br />
80<br />
75<br />
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1<br />
Time to Expiry (Year)<br />
A comparison of optimal exercise prices with two different<br />
approachesIWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 7/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-6
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