A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options  

作　　者：罗庆丽 盛万成 

机构地区：[1]Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China

出　　处：《Journal of Shanghai University(English Edition)》2007年第4期344-350,共7页上海大学学报（英文版）

基　　金：Project supported by the National Natural Science Foundation of China (Grant No.10271072)

摘　　要：In this paper, by using the optimal stopping theory, the semilinear Black-Scholes partial differential equation （PDE） was invesigated in a fixed domain for valuing two assets of American （call-max/put-min） options. From the viscosity solution of a PDE, a unique viscosity solution was obtained for the semilinear Black-Scholes PDE.In this paper, by using the optimal stopping theory, the semilinear Black-Scholes partial differential equation （PDE） was invesigated in a fixed domain for valuing two assets of American （call-max/put-min） options. From the viscosity solution of a PDE, a unique viscosity solution was obtained for the semilinear Black-Scholes PDE.

关 键 词：optimal stopping  American （call-max/put-min） options  semilinear Black-Scholes partial differential equation（PDE）  viscosity solution  existence niqueness 

分 类 号：O1-0[理学—数学]