基于指数障碍期权的抛物方程的存在性和唯一性(英文)

Existence and Uniqueness of Parabolic Problem Arising in Exponential Double Barrier Options

考虑了一类基于指数障碍期权的拟线性抛物型方程.首先在b(t,x)=c(t,x)=0情形下运用标准的Schauder理论证明了该抛物型方程问题存在一个属于Cα,1+α/2的唯一解.其次,运用变换的方法将该结论推广到了一般方程.

The quasilinear parabolic equation arising in the exponential double barrier options was considered. First, by using standard Schauder theory, we prove that, conclusion under the special case, b（t,x） = c（t,x） = 0. Second, we extend the upper result to the general case by the transformation.