| r=q时美式期权最佳实施边界在到期日附近的渐近展开 |
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| 引用本文： | 万凝.r=q时美式期权最佳实施边界在到期日附近的渐近展开[J].高校应用数学学报(A辑),2005,20(1):24-28. |
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| 作者姓名： | 万凝 |
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| 作者单位： | 同济大学,应用数学系,上海,200092 |
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| 基金项目： | 国家自然科学基金(10171078) |
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| 摘 要： | 利用美式期权的性质及最佳实施边界S(t)满足的非线性积分方程得到S(t)的先验估计，然后利用此先验估计将对S(t)的渐近展开转化为满足方程VE(S，t)=K-S的S(t)的渐近展开，最后得到利率r与红利率q相等时美式期权最佳实施边界在到期日附近的渐近展开．
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| 关 键 词： | 美式期权 最佳实施边界 自由边界 |
| 文章编号： | 1000-4424(2005)01-0024-05 |
Asymptotic expansion of optimal exercise boundary near expiry for an American option when r=q |
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| Wan Ning.Asymptotic expansion of optimal exercise boundary near expiry for an American option when r=q[J].Applied Mathematics A Journal of Chinese Universities,2005,20(1):24-28. |
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| Authors: | Wan Ning |
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| Abstract: | The optimal exercise bundary near the expiration time is determined for an American option.It is obtained by using the priori estimate of S(t) to convert the problem into the asymptotic expansion of (t),which is decided by the equation V_E(S,t)=K-S.The latter is obtained by solving the above equation asymptotically for small values of the time to expiration. |
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| Keywords: | American option optimal exercise boundary free boundary |
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