| 永久美式交叉期权(英文) |
| |
| 引用本文： | 岑苑君,易法槐.永久美式交叉期权(英文)[J].华东师范大学学报(自然科学版),2014,2014(3):8-13. |
| |
| 作者姓名： | 岑苑君 易法槐 |
| |
| 作者单位： | 1. 顺德职业技术学院, 广东~佛山528333; 2. 华南师范大学~~数学科学学院, 广州510631 |
| |
| 基金项目： | 国家自然科学基金(11271143,11371155);高等学校博士学科点专项科研基金(20124407110001) |
| |
| 摘 要： | 本文主要利用变分不等式的比较原理,研究永久美式交叉期权的最佳实施边界.研究发现,这是一个自由边界问题.与标准永久美式期权不同,这种期权在股票分红时有两个自由边界点,而当股票不分红时仅有一个自由边界点.这些自由边界点确定了相应的美式交叉期权最佳实施边界的范围,与其金融背景相符.
|
| 关 键 词： | 交叉期权 最佳实施边界 变分不等式 |
| 收稿时间： | 2013-07-01 |
Perpetual American straddle option |
| |
| CEN Yuan-jun,YI Fa-huai.Perpetual American straddle option[J].Journal of East China Normal University(Natural Science),2014,2014(3):8-13. |
| |
| Authors: | CEN Yuan-jun YI Fa-huai |
| |
| Institution: | 1. Shunde Polytechnic, Foshan Guangdong 528333, China; 2. School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China |
| |
| Abstract: | By appplying the comparison principle for the variational
inequality, we analyzed the behavior of exercise boundaries for the
perpetual American straddle option. We found that it is a free
boundary problem. Different from the standard perpetual American
option, it has two exercise boundary points with dividends and only
one free boundary point without dividends. These results can be
understood very well from the financial point of view. We will
present a rigorous mathematical proof, and find the bounds of
exercise boundaries for the American straddle option with finite
expiry. |
| |
| Keywords: | |
| 本文献已被 CNKI 等数据库收录！ |
| 点击此处可从《华东师范大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《华东师范大学学报(自然科学版)》下载免费的PDF全文 |
|
