学术报告
题目：A New Analytical-Approximation Formula for the Optimal Exercise Boundary of American Put Options
报告人：Professor Song-Ping Zhu (诸颂平)
School of Mathematics and Applied Statistics
University of Wollongong Australia
时间： 2006年10月20日(星期五)，上午10:00
地点：理科大楼 A1510 教室
欢迎数学系、数统系的教师及研究生参加。
内容摘要：
In this talk, a new analytical formula as an approximation to the value of American put options and their optimal exercise boundary is presented. A transform is first introduced to better deal with the terminal condition and, most importantly, the optimal exercise price, which is an unknown moving boundary and the key reason that valuing American options is much harder than valuing its European counterparts. The pseudo-steady-state approximation is then used in the performance of the Laplace transform, to convert the systems of partial differential equations to systems of ordinary differential equations in the Laplace space. A simple and elegant formula is found for the optimal exercise boundary as well as the option price of the American put with constant interest rate and volatility. Other hedge
parameters as the derivatives of this solution are also presented.