Title: | Solving a two variables free boundary problem arising in a perpetual american exchange option pricing model |
Authors: | Liu, Ming-Long 劉明郎 Liu, H.-K |
Contributors: | 應數系 |
Date: | 2009-10 |
Issue Date: | 2015-10-23 17:41:06 (UTC+8) |
Abstract: | We investigate an American exchange option (AEO) pricing problem. Under the perfect market assumption, an AEO pricing problem can be modeled as a free boundary problem (FBP). The FBP is converted into an integral equation by using the Green's function. When the expiration date tends to infinity, we obtain a time-invariant constant of the exercise boundary. Moreover, we provide a pricing formula for valuating the early exercise premium of the perpetual AEO. |
Relation: | Taiwanese Journal of Mathematics,13(5),1475-1488 |
Data Type: | article |
Appears in Collections: | [應用數學系] 期刊論文
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