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
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.