永久美式交叉期权(英文)  

Perpetual American straddle option

作　　者：岑苑君[1] 易法槐[2] 

机构地区：[1]顺德职业技术学院,广东佛山528333 [2]华南师范大学数学科学学院,广州510631

出　　处：《华东师范大学学报（自然科学版）》2014年第3期8-13,共6页Journal of East China Normal University(Natural Science)

基　　金：国家自然科学基金(11271143,11371155);高等学校博士学科点专项科研基金(20124407110001)

摘　　要：本文主要利用变分不等式的比较原理,研究永久美式交叉期权的最佳实施边界.研究发现,这是一个自由边界问题.与标准永久美式期权不同,这种期权在股票分红时有两个自由边界点,而当股票不分红时仅有一个自由边界点.这些自由边界点确定了相应的美式交叉期权最佳实施边界的范围,与其金融背景相符.By appplying the comparison principle for the variational inequality, we ana- lyzed the behavior of exercise boundaries for the perpetual American straddle option. We found that it is a free boundary problem. Different from the standard perpetual American option, it has two exercise boundary points with dividends and only one free boundary point without dividends. These results can be understood very well from the financial point of view. We will present a rigorous mathematical proof, and find the bounds of exercise boundaries for the American straddle option with finite expiry.

关 键 词：交叉期权 最佳实施边界 变分不等式 

分 类 号：O175.26[理学—数学]