Pricing an American Option: Interpolating by the Ju’s Closed Form Formula
碩士 === 臺灣大學 === 財務金融學研究所 === 98 === This paper makes use of the closed form solution proposed by Ju (1998) and new interpolation methods to calculate American option price. Ju (1998) derived the closed form approximate valuation formula for American options by assuming the optimal exercise boundary...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34542864316501616842 |