摘要
确定原生资产的隐含波动率无论是在理论还是实际应用上都有重要意义 .本文利用Green函数法将此问题化为一个“终端”控制问题 ,通过最佳控制解法讨论了控制泛函极小元的存在性定理 。
The implied volatility of the underlying asset is of great implication for both theoretical and practical purpose.The issue is transferred into the terminal control issue with Green functions, and the existence (theorem) of the control functional minimum with the optimal control method is discussed, furthermore the (necessary) condition with which the minimum must meet is given.
出处
《纺织高校基础科学学报》
CAS
2004年第4期321-325,共5页
Basic Sciences Journal of Textile Universities
关键词
抛物型偏微分方程
欧式期权
波动率
存在性
必要条件
parabolic type partial differential equation
European option
volatility
existence
necessary (condition)
