摘要
采用偏微分方程方法讨论了带跳扩散项的永久百慕大期权定价问题。构造了带跳扩散项的永久百慕大期权作为周期解的连续的数学模型,给出了带跳扩散项的永久百慕大期权具有级数形式的解的表达式以及在规定实施日最佳实施边界的位置所满足的非线性方程。
In this paper, we study the pricing problem of the perpetual Bermudan option with jump-diffusion by PDE(partial differential equation) method. The mathematical model of the perpetual Bermudan option with jump-diffusion is given and the pricing formula of the perpetual Bermudan option with jump-diffusion in the form of series is obtained. As a corollary, the nonlinear equation which the optimal exercise boundary in the exercise date satisfies is presented.
出处
《莆田学院学报》
2005年第2期11-16,共6页
Journal of putian University
基金
国家自然科学基金资助项目(10171078)
国务院侨务办公室基金资助项目(03QZR9)
