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Title: Solving a two variables free boundary problem arising in a perpetual american exchange option pricing model
Authors: Liu, Ming-Long
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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