| 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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