Permanent American Put Option Pricing Formula With Discontinuous Volatility; [一类带有间断波动率的永久美式看跌期权的定价公式] - Details

Author：

Wang, S. (Wang, S..) | Yuan, F. (Yuan, F..)

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Scopus

Abstract：

The　aim　of　this　paper　was　to　explore　a　class　of　permanent　American　put　option　problem　where　the　volatility　σ　is　allowed　as　a　discontinuous　function.　Through　fine　calculation,　we　overcame　the　difficulties　caused　by　the　discontinuous　volatility　σ　and　find　a　permanent　American　put　option　pricing　formula.　©　2021,　Editorial　Department　of　Journal　of　Beijing　University　of　Technology.　All　right　reserved.

Keyword：

Differential equation Discontinuous volatility Permanent American option Put option Black-Scholes equation Option pricing formula

Author Community：

[ 1 ] [Wang S.]Faculty of Science, Beijing University of Technology, Beijing, 100124, China
[ 2 ] [Yuan F.]Faculty of Science, Beijing University of Technology, Beijing, 100124, China
[ 3 ] [Yuan F.]China Everbright Bank, Beijing, 100054, China

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Related Keywords：

The asymptotic behavior of the solutions of the Black-Scholes equation as volatility sigma -> 0(+)
2019，COMPUTERS & MATHEMATICS WITH APPLICATIONS

Source ：

Journal of Beijing University of Technology

ISSN： 0254-0037

Year： 2021

Issue： 10

Volume： 47

Page： 1167-1173

Cited Count：

WoS CC Cited Count： 0

SCOPUS Cited Count：

ESI Highly Cited Papers on the List： 0 Unfold All

WanFang Cited Count：

Chinese Cited Count：

30 Days PV： 9

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