Dynamic Programming Approach to Price American Options
碩士 === 國立中山大學 === 應用數學系研究所 === 100 === We propose a dynamic programming (DP) approach for pricing American options over a finite time horizon. We model uncertainty in stock price that follows geometric Brownian motion (GBM) and let interest rate and volatility be fixed. A procedure based on dynamic...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96048215401577078044 |