摘要
利用偏微分方程方法给出了美式封顶看涨期权定价和美式保底看跌期权定价之间的某种对称性,并将此结果推广到上限和下限随时间变化情形下的美式期权合约,为期权交易者提供了投资依据.
We derived symmetry relationships between values and optimal exercise boundaries of the American capped call and floored put option by means of PDE arguments and extended our results to the options with the cap and the floor varying with time. Our results in this paper are significant for investors.
出处
《吉林大学学报（理学版）》
CAS
CSCD
北大核心
2009年第4期717-722,共6页
Journal of Jilin University:Science Edition
基金
吉林大学"985工程"创新基地项目基金(批准号:985CXJD032)
关键词
对称性
美式期权
封顶
保底
symmetry
American option
capped
floored
