| 定价多资产美式期权的半线性Black-Scholes偏微分方程的唯一解 |
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| 引用本文： | 罗庆丽,盛万成.定价多资产美式期权的半线性Black-Scholes偏微分方程的唯一解[J].上海大学学报(英文版),2007,11(4):344-350. |
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| 作者姓名： | 罗庆丽 盛万成 |
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| 作者单位： | Department of Mathematics College of Sciences，Shanghai University，Department of Mathematics，College of Sciences，Shanghai University，Shanghai 200444，P.R.China，Shanghai 200444，P.R.China |
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| 摘 要： | In this paper, by using the optimal stopping theory, the semilinear Black-Scholes partial differential equation （PDE） was invesigated in a fixed domain for valuing two assets of American （call-max/put-min） options. From the viscosity solution of a PDE, a unique viscosity solution was obtained for the semilinear Black-Scholes PDE.
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| 关 键 词： | 选项 最优算法 解答方法 资产评估 |
| 收稿时间： | 12 September 2005 |
| 修稿时间： | 2005-09-12 |
A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options |
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| LUO Qing-li,SHENG Wan-cheng.A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options[J].Journal of Shanghai University(English Edition),2007,11(4):344-350. |
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| Authors: | LUO Qing-li SHENG Wan-cheng |
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| Institution: | Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China |
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| Abstract: | In this paper,by using the optimal stopping theory,the semilinear Black-Scholes partial differential equation (PDE) was invesigated in a fixed domain for valuing two assets of American (call-max/put-min) options.From the viscosity solution of a PDE,a unique viscosity solution was obtained for the semilinear Black-Scholes PDE. |
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| Keywords: | optimal stopping American (call-max/put-min) options semilinear Black-Scholes partial differential equation (PDE) viscosity solution existence uniqueness |
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