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Use the least-squares approach to estimate numerically the price of the American put option written on the stock from the previous problem, Suppose that the price process S(t) of a dividend-free stock is modeled with a geometric Brownian motion with volatility σ = 35% and the initial price S(0) = 250. Assume that the risk-free rate is r = 2.5%.if the strike price is K =S(0) and the option matures in 4 months. You can use either the approach outlinedin class or the closely related approach from Section 8.6 in the textbook. Try to use two different families of predictor functions of your choosing. Investigate how does the number of time steps in your model influence the result?
本人matlab不是很会
谢谢大家了 ：）
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