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Derive an approximation to the risk-neutral price of an American put option having parameters S = 10, T = 0:25, K = 10, = 0:3,
Derive an approximation to the risk-neutral price of an American put option having parameters S = 10, T = 0:25, K = 10, = 0:3, r = 0:06, and q = 0:01. Use 3 time periods
(n = 3).
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The Evolution Of Nordic Finance
Authors: Steffen Elkiær Andersen
2011th Edition
0230241557, 978-0230241558
