永久百慕大期权的定价公式

Pricing Formula of Perpetual Bermudan Option

摘要:

在Black-Scholes理论框架下,用偏微分方程(PDE)方法,给出了永久百慕大期权作为一个周期解定价的闭合表达式,以及在规定实施日最佳实施边界点所满足的非线性方程.

Abstract:

Based on the partial differential equation(PDE)method,a closed form solution of the perpetual Bermudan option considered as a solution of a periodic of Black-Scholes option is given in the theoretical frame of Black-Scholes.Moreover,a nonlinear equation satisfied by the optimal exercise boundary of the perpetual Bermudan option is obtained.