美式期权价格的渐近性质

Asymptotic Behavior of American Option

对于美式期权定价满足的Black-Scholes方程的自由边界问题,在本文中证明当交割日期T→+∞时,美式期权的价格在C1+β空间收敛到永久美式期权的价格.

For free boundary problem of Black-Scholcs equation of American option, in this paper it is proved that if the expiry T→＋∞, then the price of American option will converges to the price of permanent American option.