摘要
博弈期权是由K ifer在2000年引进的,本质上是美式期权的一种,它使买卖双方都有权在到期日前的任何时刻中止合约来维护自己的权益.在股票波动率非常数时,对一类特殊类型的博弈期权进行了研究,通过解一个Stefan问题,得到了其价格的明确表达式.
Game option is an American-type option in essence, it was introduced by Kifer in 2000. In contrast to American option, it gives both writer and holder the right to exercise the option for their claims before expiry date. In this paper, some type of game option is considered and explicit expressions of the price is obtained through solving Stefan problems under condition that the volatility is noneonstant.
出处
《湖南师范大学自然科学学报》
CAS
北大核心
2009年第1期7-10,15,共5页
Journal of Natural Science of Hunan Normal University
基金
国家自然科学基金资助项目(60604020)
