| 一类积微分方程自由边界问题解的误差估计 |
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| 引用本文： | 王志焕.一类积微分方程自由边界问题解的误差估计[J].莆田学院学报,2007,14(2):20-23,28. |
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| 作者姓名： | 王志焕 |
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| 作者单位： | 华侨大学,数学系,福建,泉州,362021 |
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| 基金项目： | 国家自然科学基金;福建省自然科学基金 |
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| 摘 要： | 讨论带跳扩散模型下美式期权价格及最佳实施边界当执行日期趋于无穷大时的误差估计。在相应的基本假设下,美式期权的定价模型是一个抛物积微分方程自由边界问题,而永久美式期权的定价模型是一个积微分方程自由边界问题。利用抛物型偏微分方程的极值原理,得到了带跳扩散模型下美式期权价格及最佳实施边界的误差估计。
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| 关 键 词： | 跳扩散模型 抛物积微分方程 美式期权 永久美式期权 最佳实施边界 误差估计 |
| 文章编号： | 1672-4143（2007）02-0020-04 |
| 修稿时间： | 2006-11-16 |
Error Estimates of a Free Boundary Problem of an Intergro-differential Equation |
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| WANG Zhi-huan.Error Estimates of a Free Boundary Problem of an Intergro-differential Equation[J].journal of putian university,2007,14(2):20-23,28. |
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| Authors: | WANG Zhi-huan |
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| Institution: | Department of Mathematics, Huaqiao University, Quanzhou 362021, China |
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| Abstract: | The intent of this study is to discuss the error estimates of price and optimal exercise boundary of American option when the expiry date runs to infinite in a jump-diffusion model.Based on the relevant essential tentatives,American option pricing model is a free boundary problem of a parabolic integro-differential equation and erpetual American option pricing model is a free boundary problem of an integro-differential equation.Using the critical estimates of parabolic type partial differential equation.we obtain the error estimates of price and optimal exercise boundary of American option in a jump-diffusion model. |
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| Keywords: | jump-diffusion model parabolic integro-differential equation American option perpetual American option optimal exercise boundary error estimate |
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