摘要
本文应用偏微分方程方法研究美式跨式期权实施边界的性质.如果没有红利,则只有一条实施边界;如果有红利,则有两条实施边界.我们证明永久美式跨式期权实施边界的存在性是具有技巧性的.然后利用这个结果决定美式跨式期权实施边界的界.另一方面,这些结果在实际金融中是有意义的.基于这个结果投资者是否实施他的期权;金融机构可以构造投资组合兑冲风险.
In this paper, we analyze the behavior of exercise boundary of American straddle option applying PDE method. If dividend is zero, it has only one exercise boundary. And if dividend is positive, it possesses two exercise boundaries. It is technical in mathematics to show the existence of exercise boundaries of perpetual American straddle option. In turn, the result can be used to determine the bounds of exercise boundaries of American straddle option. On other hand those results are meaningful in practical finance, based on the results investor can determine to exercise his option or not, the issuer of the option may construct the portfolio for hedging the risk.
出处
《工程数学学报》
CSCD
北大核心
2012年第5期787-790,共4页
Chinese Journal of Engineering Mathematics
基金
The National Natural Science Foundation of China(10971073
10901060)
the Natural Science Foundation of Guangdong Province(9451063101002091)
关键词
跨式期权
实施边界
变分不等式
straddle option
exercise boundary
variational inequality
