Volatility

{ σ , σ r e c }

Dividend

(q)

BSM

Price

American Option

Pricing Solver

FFT

Price

Exercising

Time (yr.)

0.1, 0.000

0.002

20.249557

20.249556

20.398278

1 12

0.1, 0.025

0.002

20.249557

20.249556

20.398278

1 12

0.1, 0.000

0.002

20.746027

20.746026

20.894006

0.25

0.1, 0.025

0.002

20.746157

20.746127

20.894135

0.25

0.1, 0.000

0.002

21.484649

21.484550

21.631524

0.5

0.1, 0.025

0.002

21.491432

21.490722

21.638307

0.5

0.1, 0.000

0.002

22.949394

22.948914

23.094093

1

0.1, 0.025

0.002

23.009897

23.009970

23.154597

1