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目的是针对现有方法不能处理的价格“向下跳空”给出一般跳扩散模型下永久美式看跌期权定价公式以及最佳实施边界的显式表达式.“向下跳空”相比“向上跳空”的重要性在于,价格有可能从继续持有区域瞬时跳入停止实施区域,强烈影响到美式期权持有者的投资决策.文章强调跳量的概率密度函数p(y)是一般形式的,通过偏微分方程方法引入格林函数,给出永久美式看跌期权的价格,并通过自由边界条件(smooth junction condition)给出最佳实施边界的显式表达式.
The purpose is to give an explicit expression of the perpetual American put option pricing and the best implementation bounds for the general jump diffusion model against the price that the existing methods can not handle. “Jumping Down” The importance of “jumping upwards” compared to “jumping upwards” lies in the fact that it is possible for prices to jump into the discontinued area instantaneously from the continued holding area, strongly affecting the investment decisions of American option holders.The article emphasizes that the probability density function p (y) is a general form. By introducing the Green’s function by the method of partial differential equations, the price of a permanent American put is given, and an explicit expression of the optimal implementation boundary is given by a free-form boundary condition.