WANG Shu, YUAN Fang. Permanent American Put Option Pricing Formula With Discontinuous Volatility[J]. Journal of Beijing University of Technology, 2021, 47(10): 1167-1173. DOI: 10.11936/bjutxb2020020014
Citation:
WANG Shu, YUAN Fang. Permanent American Put Option Pricing Formula With Discontinuous Volatility[J]. Journal of Beijing University of Technology, 2021, 47(10): 1167-1173. DOI: 10.11936/bjutxb2020020014
WANG Shu, YUAN Fang. Permanent American Put Option Pricing Formula With Discontinuous Volatility[J]. Journal of Beijing University of Technology, 2021, 47(10): 1167-1173. DOI: 10.11936/bjutxb2020020014
Citation:
WANG Shu, YUAN Fang. Permanent American Put Option Pricing Formula With Discontinuous Volatility[J]. Journal of Beijing University of Technology, 2021, 47(10): 1167-1173. DOI: 10.11936/bjutxb2020020014
Permanent American Put Option Pricing Formula With Discontinuous Volatility
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.