y****8
发帖数: 2 | 1 When transferring from risk neutral measure to forward measure, we will add
a drift term A(t,TF)*sigma*dt(if it is an affine interest rate model). I am
a little confused about which TF I should use for pricing an American option.
Quoted from the interest rate model textbook, "In many concrete situations,
a useful numeraire is the zero-coupon bond whose maturity T coincides with
that of the derivative to price."
So if we want to price an american option with the maturity of 20 years, I
will set T |
|
