| 有比例上界的永久美式交换期权 |
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| 引用本文： | 陈婧,易法槐.有比例上界的永久美式交换期权[J].广东职业技术师范学院学报,2011(12):1-5,31. |
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| 作者姓名： | 陈婧 易法槐 |
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| 作者单位： | 华南师范大学,广东广州510631 |
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| 基金项目： | 国家自然科学基金项目（No.10971073）. |
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| 摘 要： | 研究了具有比例上界的永久美式交换期权定价问题，先通过变量代换将问题化简．化成只有一个自变量的常微分方程自由边界问题．再根据边界的两种不同情况分别找到满足条件的解。并证明解的唯一性．
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| 关 键 词： | 变量代换 自由边界 唯一性 |
Perpetual American Exchange Option with Proportional Cap |
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| Chen Jing Yi Fahuai.Perpetual American Exchange Option with Proportional Cap[J].Journal of Guangdong Polytechnical Normal University,2011(12):1-5,31. |
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| Authors: | Chen Jing Yi Fahuai |
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| Institution: | Chen Jing Yi Fahuai (South China Normal University, Guangzhou 510631, China) |
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| Abstract: | In this paper we consider the problem of perpetual American exchange optxon wxtla proportxonat cap. First, we use the variable substitution to simplify the problem, and get an ordinary differential equation which has one variable only. Then, we find solutions to meet the two different kinds of boundaries. Finally, we prove the uniqueness of solution. |
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| Keywords: | variable substitution free boundary uniqueness |
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