美式看跌期权早期行权边界与价值函数的整体关系

IF 0.3 Q4 MATHEMATICS

Transactions of A Razmadze Mathematical Institute Pub Date : 2018-12-01 DOI:10.1016/j.trmi.2018.07.003

Malkhaz Shashiashvili

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引用次数: 0

摘要

本文在广义Black-Scholes模型中证明了美式看跌期权早期行权边界与其价值函数之间的一种新的积分关系。基于这种关系，我们表明，只要我们手头有美式看跌期权价值函数的任何统一近似值，就有可能构造未知早期行使边界的l2近似值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On the integral relationship between the early exercise boundary and the value function of the American put option

We prove in this paper a new integral relationship between the American put option early exercise boundary and its value function in the generalized Black–Scholes model. Based on this relationship we show that it is possible to construct the $L^{2}$ -approximation to the unknown early exercise boundary provided that we have at hand any uniform approximation of the American put option value function.

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来源期刊

Transactions of A Razmadze Mathematical Institute MATHEMATICS-

CiteScore

0.50

自引率

50.00%

发文量

审稿时长

22 weeks