Pricing of american put of KOSPI 200 index using carr's method

Abstract

While American calls on stocks may be valued as European call, there is no completely explicit exact solution for the values of American puts. We use a technique called randomizaton to value American put option,which is suggested by Carr. This technique yields a new explicit approximation to value American option values in the Black-Scholes model.Unfortunatly, In Korean security market, there is no American Puts.In this thesis,We assume the existence of American Puts of KOSPI 200 Index, and calculate its values by using Carr``s Method The volatility of KOSPI 200 index process is obtained by EWMA