| 一类永久博弈期权的定价 |
| |
| 引用本文： | 王磊,金治明.一类永久博弈期权的定价[J].数学理论与应用,2009(2):38-41. |
| |
| 作者姓名： | 王磊 金治明 |
| |
| 作者单位： | 国防科技大学理学院,湖南长沙410073 |
| |
| 摘 要： | 博弈期权是由Kifer引进的，本质上是美式期权的一种，它使买卖双方都有权在到期日前的任何时刻中止合约来维护自己的权益。在股票波动率非常数时，对一类特殊类型的博弈期权进行了研究，通过解一个自由边界问题，得到了其价格的闭式解。
|
| 关 键 词： | 博弈期权 自由边界问题 障碍期权 |
Valuation of Some Perpetual Game-type Option |
| |
| Wang Lei Jin Zhiming.Valuation of Some Perpetual Game-type Option[J].Mathematical Theory and Applications,2009(2):38-41. |
| |
| Authors: | Wang Lei Jin Zhiming |
| |
| Institution: | College of Science;National University of Defense Technology;Changsha;410073 |
| |
| Abstract: | Game option is an American-type option in essence,it was introduced by Kifer and gives both writer and holder the right to exercise the option for their claims before expiry date.In this paper,some type of game option is considered and explicit expressions of the price is obtained through solving free boundary problem under condition that the volatility is nonconstant. |
| |
| Keywords: | Game option Free boundary problem Barrier option |
| 本文献已被 CNKI 维普 等数据库收录！ |
