一类永久美式期权的定价问题  

The pricing problem for a class of permanent American option

作　　者：王术[1] 袁芳[1,2] WANG Shu;YUAN Fang(College of Applied Sciences,Beijing University of Technology,100124,Beijing,China;China Everbright Bank,100054,Beijing,China)

机构地区：[1]北京工业大学应用数理学院,北京100124 [2]中国光大银行,北京100054

出　　处：《北京师范大学学报（自然科学版）》2021年第2期180-185,共6页Journal of Beijing Normal University(Natural Science)

基　　金：国家自然科学基金资助项目(11771031,11531010)。

摘　　要：探索一类永久美式期权的定价问题,在这类问题中,允许波动率σ是一个间断函数,使用微分方程理论等分析技巧,克服波动率σ的间断性所带来的困难,建立了一类期权定价公式.For the pricing problem of a class of permanent American option, we allow volatility to be a discontinuous function. Analytical techniques such as differential equation theory were used to overcome difficulty due to discontinuity in volatility and to establish a type of option pricing formula.

关 键 词：BLACK-SCHOLES方程 永久美式期权 间断波动率 

分 类 号：O175.26[理学—数学]