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A comparative Study of Two Analytical-Approximation Formulae and The Binomial Method for the Optimal Exercise Boundary of American Put Options

Conference Paper


Abstract


Publication Date


  • 2004

Citation


  • Zhu, S. & Francis, W. (2004). A comparative Study of Two Analytical-Approximation Formulae and The Binomial Method for the Optimal Exercise Boundary of American Put Options. In H. Pan, D. Sornette & K. Kortanek (Eds.), Proceedings of the First International Workshop on Intelligent Finance (IWIF1) (pp. 242-251). Ballarat: University of Ballarat.

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2546

Start Page


  • 242

End Page


  • 251

Place Of Publication


  • Ballarat

Abstract


Publication Date


  • 2004

Citation


  • Zhu, S. & Francis, W. (2004). A comparative Study of Two Analytical-Approximation Formulae and The Binomial Method for the Optimal Exercise Boundary of American Put Options. In H. Pan, D. Sornette & K. Kortanek (Eds.), Proceedings of the First International Workshop on Intelligent Finance (IWIF1) (pp. 242-251). Ballarat: University of Ballarat.

Ro Metadata Url


  • http://ro.uow.edu.au/infopapers/2546

Start Page


  • 242

End Page


  • 251

Place Of Publication


  • Ballarat