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 />
0.8<br />
N=200<br />
0.7<br />
0.6<br />
M=100<br />
M=80<br />
M=60<br />
CPU Time (second)<br />
0.5<br />
0.4<br />
0.3<br />
0.2<br />
0.1<br />
N=10<br />
0<br />
0 1 2 3 4 5 6 7 8 9<br />
RMSRE (%)<br />
Accuracy vs. Efficiency<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 8/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-7
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