永久美式封顶看涨期权的自由边界问题模型
A Free-Boundary Model with Permanent American Capped Call Option
-
摘要: 首先利用无套利原理和Ito公式导出永久美式封顶看涨期权的一种定价模型,随后解出其显式解,同时给出问题中的参数对期权价格单调影响的数学证明和金融解释,最后利用这些结果得出非永久美式封顶看涨期权价格的一些性质。Abstract: The no-arbitrage principle and Ito's Lemma are emploied to derive a pricing model for the permanent American capped call option and then the analytical solution is obtained. Meanwhile, it presents both mathematical proof and financial interpretation of the option price's monotonicity dependence on the model parameters. Finally, some properties of non-permanent American capped call option based on the previously mentioned results are derived.