英文标题：
《The Binomial Tree Method and Explicit Difference Schemes for American
Options with Time Dependent Coefficients》
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作者：
Hyong-chol O, Song-gon Jang, Il-Gwang Jon, Mun-Chol Kim, Gyong-Ryol
Kim, Hak-Yong Kim
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最新提交年份：
2018
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英文摘要：
Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that the dynamics of the underlying asset\'s price forms a binomial tree if a partition of time interval with equal parts is used. A time interval partition method that allows binomial tree dynamics of the underlying asset\'s price is provided. Conditions under which the prices of American option by BTM and EDS have the monotonic property on time variable are found. Using convergence of EDS for variational inequality model of American options to viscosity solution the decreasing property of the price of American put options and increasing property of the optimal exercise boundary on time variable are proved. First, put options are considered. Then the linear homogeneity and call-put symmetry of the price functions in the BTM and the EDS for the variational inequality model of American options with time dependent coefficients are studied and using them call options are studied.
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中文摘要：
研究了含时系数美式期权变分不等式模型的二叉树方法（BTM）和显式差分格式（EDS）。当波动率与时间相关时，如果使用等分的时间间隔划分，则假设标的资产价格的动态形成二叉树是不合理的。提供了一种时间间隔划分方法，该方法允许标的资产价格的二叉树动态变化。研究了BTM和EDS美式期权价格对时间变量具有单调性的条件。利用美式期权变分不等式模型的EDS收敛性，证明了美式看跌期权价格的递减性和时间变量上最优行权边界的递增性。首先，考虑看跌期权。然后研究了具有时间相关系数的美式期权变分不等式模型的BTM和EDS中价格函数的线性齐性和看涨期权对称性，并利用它们研究了看涨期权。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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