WANG Shu, YUAN Fang. The pricing problem for a class of permanent American option[J]. Journal of Beijing Normal University(Natural Science), 2021, 57(2): 180-185. DOI: 10.12202/j.0476-0301.2020225
Citation: WANG Shu, YUAN Fang. The pricing problem for a class of permanent American option[J]. Journal of Beijing Normal University(Natural Science), 2021, 57(2): 180-185. DOI: 10.12202/j.0476-0301.2020225

The pricing problem for a class of permanent American option

  • For the pricing problem of a class of permanent American option, we allow volatility to be a discontinuous function.Analytical techniques such as differential equation theory were used to overcome difficulty due to discontinuity in volatility and to establish a type of option pricing formula.
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