英文标题：
《Analytic properties of American option prices under a modified
Black-Scholes equation with spatial fractional derivatives》
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作者：
Wenting Chen and Kai Du and Xinzi Qiu
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最新提交年份：
2017
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英文摘要：
This paper investigates analytic properties of American option prices under the finite moment log-stable (FMLS) model. Under this model the price of American options is characterised by the free boundary problem of a fractional partial differential equation (FPDE) system. Using the technique of approximation we prove that the American put price under the FMLS model is convex with respect the underlying price, and specify the impact of the tail index on option prices.
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中文摘要：
本文研究了有限矩对数稳定（FMLS）模型下美式期权价格的分析性质。在此模型下，美式期权的价格表现为分数阶偏微分方程（FPDE）系统的自由边界问题。利用近似技术，我们证明了FMLS模型下的美式看跌期权价格相对于标的价格是凸的，并说明了尾部指数对期权价格的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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