跳扩散模型下美式期权的对称性  

American Put-call Symmtry in Jump Diffusion Model

作　　者：杨成荣[1] 

机构地区：[1]吉林大学商学院应用金融系,吉林长春130012

出　　处：《经济数学》2010年第1期46-52,共7页Journal of Quantitative Economics

基　　金：吉林大学985工程二期资助项目(985CXJD032)

摘　　要：利用分析方法得到了跳扩散模型下美式看涨、看跌期权的价格和最佳实施边界间的对称性公式.美式看涨和看跌期权价格间的对称关系通常是利用概率理论得到,这里给出了这些结果在跳扩散模型下的另一种证明.此外,由本文所得结果和偏微分方程理论,可以得到跳扩散模型下美式看涨期权的最佳实施边界以及永久美式期权的若干性质.We derived symmetry relationships between the values and the optimal exercise boundaries of American puts and calls in a jump diffusion model by the analytic method. Symmetry relationships between American calls and puts were obtained by probability theory. We gave here another proof of these results in the jump-diffusion model. Also, we showed some properties of American calls and American perpetual options in the jump-diffusion model by PDE arguments and our results.

关 键 词：对称性 美式期权 跳扩散模型 

分 类 号：F830[经济管理—金融学]