A free boundary problem coming from the perpetual American call options with utility

Liping S.; Wanghui Y.

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A free boundary problem coming from the perpetual American call options with utility

机译：来自永久性的美式看涨期权带来的免费边界问题

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摘要

A free boundary problem, which comes from the model of the perpetual American call options with utility functions in financial market, is investigated. It is a degenerative parabolic free boundary problem and is studied by the line method. The existence, regularity and uniqueness of the solution as well as some properties of the free boundary are established.

机译：研究了一个自由边界问题，该问题来自具有金融市场效用函数的永久美国看涨期权模型。它是退化的抛物线型自由边界问题，通过线法进行研究。建立了解的存在性，规则性和唯一性以及自由边界的一些性质。

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来源
《European Journal of Applied Mathematics》 |2013年第2期|共41页
作者
Liping S.; Wanghui Y.;
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原文格式 PDF
正文语种 eng
中图分类应用数学;
关键词
American call options; Free boundary problem; Utility function;

机译：美式看涨期权;自由边界问题;实用功能;

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专利

1. A free boundary problem coming from the perpetual American call options with utility [J] . Liping S., Wanghui Y. European Journal of Applied Mathematics . 2013,第Pta2期

机译：来自永久性的美式看涨期权带来的免费边界问题
2. Parameter estimation approach to the free boundary for the pricing of an American call option [J] . Cho CK, Kang SB, Kim T, Computers & mathematics with applications . 2006,第5期

机译：美国看涨期权定价的自由边界参数估计方法
3. Closed-form solution for the critical stock price and the price of perpetual American call options via the improved Mellin transforms [J] . Sunday Emmanuel Fadugba, Chuma Raphael Nwozo International Journal of Financial Markets and Derivatives . 2018,第4期

机译：通过改进的Mellin变换为关键股票价格和永久美国看涨期权的价格提供封闭式解决方案
4. Approximating free exercise boundaries for American-style options using simulation and optimization [C] . Cobb, B.R., Charnes, . 2004

机译：使用模拟和优化来近似美式期权的自由运动边界
5. Optimal Trading Under the American Perpetual Put Option for Geometric Brownian Motion and Mean-Reverting Processes [D] . Siebigteroth, Ines Larissa. 2017

机译：几何布朗运动和均值回复过程的美国永久认沽期权下的最优交易
6. Commentary: Utility-free heuristic models of two-option choice can mimic predictions of utility-stage models under many conditions [O] . Camillo Padoa-Schioppa 2015

机译：评论：两种选择的无效用启发式模型可以在许多条件下模仿效用阶段模型的预测
7. Parameter estimation approach to the free boundary for the pricing of an american call option [O] . Cho Chung-Ki, Kang Sunbu, Kim Taekkeun, 2006

机译：美国看涨期权定价的自由边界参数估计方法

A free boundary problem coming from the perpetual American call options with utility

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