| 摘要 |
The invention calculates an American option value by: creating a discrete approximation for a self-convolving probability distribution with a pre-determined number of points; creating a discrete approximation of a delta function for one entry of value 1 at a current time; creating probability distributions of returns for a stock underlying the option, for a plurality of times from a current time through an expiry for the option; calculating a probability distribution for a value for the option at expiry; and doing a series of reverse convolutions of the self-convolving distribution with each probability distribution of returns for the stock underlying the option, starting with the probability distribution for the return of the stock at the expiry, and obtaining the current value for the option.
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