American Put

American Put

crr_american_1.gif

crr_american_2.gif

crr_american_3.gif

crr_american_4.gif

crr_american_5.gif

crr_american_6.gif

Early Exercise Boundry

“1” means the node is early exercised.

crr_american_7.gif

crr_american_8.gif

{0}
{0,0}
{0,0,0}
{0,0,0,0}
{0,0,0,0,0}
{0,0,0,0,0,0}
{0,0,0,0,0,0,0}
{1,0,0,0,0,0,0,0}
{1,0,0,0,0,0,0,0,0}
{1,1,0,0,0,0,0,0,0,0}
{1,1,0,0,0,0,0,0,0,0,0}
{1,1,1,0,0,0,0,0,0,0,0,0}
{1,1,1,0,0,0,0,0,0,0,0,0,0}
{1,1,1,1,0,0,0,0,0,0,0,0,0,0}
{1,1,1,1,1,0,0,0,0,0,0,0,0,0,0}
{1,1,1,1,1,0,0,0,0,0,0,0,0,0,0,0}
{1,1,1,1,1,1,0,0,0,0,0,0,0,0,0,0,0}
{1,1,1,1,1,1,0,0,0,0,0,0,0,0,0,0,0,0}
{1,1,1,1,1,1,1,0,0,0,0,0,0,0,0,0,0,0,0}
{1,1,1,1,1,1,1,1,0,0,0,0,0,0,0,0,0,0,0,0}
Spikey Created with Wolfram Mathematica 8.0