| dc.contributor | 應數系 | - |
| dc.creator (作者) | Liu, Ming-Long | - |
| dc.creator (作者) | 劉明郎 | zh_TW |
| dc.creator (作者) | Liu, H.-K | en_US |
| dc.date (日期) | 2009-10 | - |
| dc.date.accessioned | 23-十月-2015 17:41:06 (UTC+8) | - |
| dc.date.available | 23-十月-2015 17:41:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 23-十月-2015 17:41:06 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/79039 | - |
| dc.description.abstract (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. | - |
| dc.format.extent | 176 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Taiwanese Journal of Mathematics,13(5),1475-1488 | - |
| dc.title (題名) | Solving a two variables free boundary problem arising in a perpetual american exchange option pricing model | - |
| dc.type (資料類型) | article | en |
