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https://ah.lib.nccu.edu.tw/handle/140.119/79039
題名: | Solving a two variables free boundary problem arising in a perpetual american exchange option pricing model | 作者: | Liu, Ming-Long 劉明郎 Liu, H.-K |
貢獻者: | 應數系 | 日期: | 十月-2009 | 上傳時間: | 23-十月-2015 | 摘要: | 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. | 關聯: | Taiwanese Journal of Mathematics,13(5),1475-1488 | 資料類型: | article |
Appears in Collections: | 期刊論文 |
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