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.