英文标题：
《Variational inequality for perpetual American option price and
convergence to the solution of the difference equation》
---
作者：
Hyong-chol O, Song-San Jo
---
最新提交年份：
2019
---
英文摘要：
A variational inequality for pricing the perpetual American option and the corresponding difference equation are considered. First, the maximum principle and uniqueness of the solution to variational inequality for pricing the perpetual American option are proved. Then the maximum principle, the existence and uniqueness of the solution to the difference equation corresponding to the variational inequality for pricing the perpetual American option and the solution representation are provided and the fact that the solution to the difference equation converges to the viscosity solution to the variational inequality is proved. It is shown that the limits of the prices of variational inequality and BTM models for American Option when the maturity goes to infinity do not depend on time and they become the prices of the perpetual American option.
---
中文摘要：
研究了永久美式期权定价的一个变分不等式及其相应的差分方程。首先，证明了永久美式期权定价的变分不等式解的最大值原理和唯一性。然后给出了永续美式期权定价的最大值原理、变分不等式对应的差分方程解的存在唯一性以及解的表示，并证明了差分方程解收敛于变分不等式的粘性解。结果表明，美式期权的变分不等式和BTM模型在到期日为无穷大时的价格极限不依赖于时间，它们成为永久美式期权的价格。
---
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
--

---
PDF下载：
-->