华东师范大学学报(自然科学版) ›› 2014, Vol. 2014 ›› Issue (3): 8-13.

• 数学 • 上一篇    下一篇

永久美式交叉期权

岑苑君1, 易法槐2   

  1. 1. 顺德职业技术学院, 广东~佛山528333; 2. 华南师范大学~~数学科学学院, 广州510631
  • 收稿日期:2013-07-01 修回日期:2013-10-01 出版日期:2014-05-25 发布日期:2014-07-25

Perpetual American straddle option

CEN Yuan-jun1, YI Fa-huai2   

  1. 1. Shunde Polytechnic, Foshan Guangdong 528333, China; 2. School of Mathematical Sciences, South China Normal University, Guangzhou 510631, China
  • Received:2013-07-01 Revised:2013-10-01 Online:2014-05-25 Published:2014-07-25

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摘要： 本文主要利用变分不等式的比较原理,
研究永久美式交叉期权的最佳实施边界. 研究发现, 这是一个自由边界问题.
与标准永久美式期权不同, 这种期权在股票分红时有两个自由边界点,
而当股票不分红时仅有一个自由边界点.
这些自由边界点确定了相应的美式交叉期权最佳实施边界的范围,
与其金融背景相符.

关键词: 交叉期权, 最佳实施边界, 变分不等式

Abstract: By appplying the comparison principle for the variational
inequality, we analyzed the behavior of exercise boundaries for the
perpetual American straddle option. We found that it is a free
boundary problem. Different from the standard perpetual American
option, it has two exercise boundary points with dividends and only
one free boundary point without dividends. These results can be
understood very well from the financial point of view. We will
present a rigorous mathematical proof, and find the bounds of
exercise boundaries for the American straddle option with finite
expiry.

Key words: straddle option, exercise boundary, variational inequality

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