| 基于指数障碍期权的抛物方程的存在性和唯一性 |
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| 引用本文： | 董,艳.基于指数障碍期权的抛物方程的存在性和唯一性[J].经济数学,2013,30(1):81-88. |
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| 作者姓名： | 董 艳 |
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| 作者单位： | 陕西铁路工程职业技术学院 基础部,陕西渭南,714000 |
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| 摘 要： | 考虑了一类基于指数障碍期权的拟线性抛物型方程.首先在b(t,x)=c(t,x)=0情形下运用标准的Schauder理论证明了该抛物型方程问题存在一个属于Cα,1+α/2的唯一解.其次,运用变换的方法将该结论推广到了一般方程.
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| 关 键 词： | 修正的Black-Scholes方程 指数障碍期权 Schauder估计 存在性 唯一性 |
Existence and Uniqueness of Parabolic Problem Arising in Exponential Double Barrier Options |
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| DONG,Yan.Existence and Uniqueness of Parabolic Problem Arising in Exponential Double Barrier Options[J].Mathematics in Economics,2013,30(1):81-88. |
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| Authors: | DONG Yan |
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| Institution: | DONG Yan(Department of Basic,Shaanxi Railway Institute,Wei Nan,Shaanxi 714000,China) |
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| Abstract: | The quasilinear parabolic equation arising in the exponential double barrier options was considered. First, by using standard Schauder theory, we prove that, conclusion under the special case, b(t,x)=c(t,x)=0. Second, we extend the upper result to the general case by the transformation. |
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| Keywords: | Modified Black-Scholes equation exponential double barrier options schauder estimate existence uniqueness |
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