首页|定价多资产美式期权的半线性Black-Scholes偏微分方程的唯一解

定价多资产美式期权的半线性Black-Scholes偏微分方程的唯一解

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A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options
In this paper, by using the optimal stopping theory, the semilinear Black-Scholes partial differential equation (PDE) was invesigated in a fixed domain for valuing two assets of American (call-max/put-min) options. From the viscosity solution of a PDE, a unique viscosity solution was obtained for the semilinear Black-Scholes PDE.

optimal stopping, American (call-max/put-min) options, semilinear Black-Scholes partial differential equation (PDE), viscosity solution, existence, uniqueness.

罗庆丽、盛万成

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Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China

optimal stopping, American (call-max/put-min) options, semilinear Black-Scholes partial differential equation (PDE), viscosity solution, existence, uniqueness.

国家自然科学基金

10271072

2007

上海大学学报(英文版)
上海大学

上海大学学报(英文版)

影响因子：0.196
ISSN：1007-6417
年,卷(期)：2007.11(4)
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