一类带有间断波动率的永久美式看跌期权的定价公式

    Permanent American Put Option Pricing Formula With Discontinuous Volatility

    • 摘要: 为了探索一类带有波动率σ的永久美式看跌期权问题,其中σ是一个间断函数,使用包括微分方程理论在内的一些分析技巧,克服了波动率σ的间断性所带来的困难,建立了一类永久美式看跌期权的定价公式.

       

      Abstract: The aim of this paper was to explore a class of permanent American put option problem where the volatility σ is allowed as a discontinuous function. Through fine calculation, we overcame the difficulties caused by the discontinuous volatility σ and find a permanent American put option pricing formula.

       

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