| 波动率非常数时一类博弈期权的定价 |
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| 引用本文： | 王磊,金治明. 波动率非常数时一类博弈期权的定价[J]. 湖南师范大学自然科学学报, 2009, 32(1) |
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| 作者姓名： | 王磊 金治明 |
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| 作者单位： | 国防科技大学理学院,中国,长沙,410073 |
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| 摘 要： | 博弈期权是由Kifer在2000年引进的,本质上是美式期权的一种,它使买卖双方都有权在到期日前的任何时刻中止合约来维护自己的权益.在股票波动率非常数时,对一类特殊类型的博弈期权进行了研究,通过解一个Stefan问题,得到了其价格的明确表达式.
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| 关 键 词： | 博弈期权 自由边界问题 障碍期权 |
Valuation of Some Game-Type Option with Nonconstant Volatility |
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| WANG lei,JIN Zhi-ming. Valuation of Some Game-Type Option with Nonconstant Volatility[J]. Journal of Natural Science of Hunan Normal University, 2009, 32(1) |
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| Authors: | WANG lei JIN Zhi-ming |
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| Affiliation: | College of Science;National University of Defense Technology;Changsha 410073;China |
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| Abstract: | Game option is an American-type option in essence,it was introduced by Kifer in 2000.In contrast to American option,it gives both writer and holder the right to exercise the option for their claims before expiry date.In this paper,some type of game option is considered and explicit expressions of the price is obtained through solving Stefan problems under condition that the volatility is nonconstant. |
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| Keywords: | game option free boundary problem barrier option |
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