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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Review of Various solution Approaches<br />
Numerical Approaches:<br />
Risk Neutral Approaches<br />
– Cox et al. (1979): The B<strong>in</strong>omial Method<br />
– Gr<strong>an</strong>t et al. (1996): The Monte Carlo simulation method<br />
– Longstaff <strong>an</strong>d Schwartz (2001): the Least Squares Method<br />
(Monte Carlo simulation)<br />
IWIF-II www.sw<strong>in</strong>gtum.com/<strong>in</strong>stitute/IWIF PPT 9/68<br />
Song-P<strong>in</strong>g Zhu, SMAS, April 26, 2007 0-8