摘要
在Black-Scholes理论框架下,用偏微分方程(PDE)方法,给出了永久百慕大期权作为一个周期解定价的闭合表达式,以及在规定实施日最佳实施边界点所满足的非线性方程.
Based on the partial differential equation(PDE) method, a closed form solution of the perpetual Bermudan option considered as a solution of a periodic of Black-Scholes option is given in the theoretical frame of Black-Scholes. Moreover, a nonlinear equation satisfied by the optimal exercise boundary of the perpetual Bermudan option is obtained.
出处
《同济大学学报(自然科学版)》
EI
CAS
CSCD
北大核心
2008年第10期1443-1447,共5页
Journal of Tongji University:Natural Science
基金
国家自然科学基金资助项目(10471106
10671103)
福建省自然科学基金资助项目(2006J0219)
关键词
偏微分方程
永久百慕大期权
最佳实施边界
压缩映射
partial differential equation
perpetual Bermudan option
optimal exercise boundary
contraction mapping