Timeline for American option priced incorrectly by `FinancialDerivative`?
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 18, 2017 at 12:54 | history | tweeted | twitter.com/StackMma/status/876422989792858112 | ||
| Jun 14, 2017 at 13:58 | vote | accept | Al Guy | ||
| Jun 13, 2017 at 23:53 | answer | added | kglr | timeline score: 6 | |
| Jun 13, 2017 at 22:17 | comment | added | kglr | AIGuy, good point. I don't know how. | |
| Jun 13, 2017 at 22:12 | comment | added | Al Guy | @kglr But how is it possible to have such a large discrepancy between the two methods, binomial and Black-Scholes? | |
| Jun 13, 2017 at 21:54 | comment | added | kglr |
Using the option Method->"Binomial" gives 1.2625, that is, FinancialDerivative[{"American", "Put"}, {"StrikePrice" -> 90, "Expiration" -> 1}, {"InterestRate" -> 0.1, "Volatility" -> 0.18, "CurrentPrice" -> 100, "Dividend" -> 0.}, Method -> "Binomial"]
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| Jun 13, 2017 at 19:40 | history | asked | Al Guy | CC BY-SA 3.0 |