发帖
雷达卡
摘要翻译：
本文分析了美式浮动执行型亚式看涨期权，属于金融衍生品的一类，其收益图不仅依赖于标的资产价格，而且依赖于标的资产价格在一定时间间隔内的路径平均值。期权价格的数学模型导致了抛物型偏微分方程的自由边界问题。应用定域变换和变量变换，提出了一种求解非局部抛物型偏微分方程的有效的数值算法。对于各种类型的平均方法，我们研究了早期运动边界对模型参数的依赖性。
---
英文标题：
《Sensitivity analysis of the early exercise boundary for American style
of Asian options》
---
作者：
Daniel Sevcovic and Martin Takac
---
最新提交年份：
2011
---
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
--
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
--
---
英文摘要：
In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying asset prices over some predetermined time interval. The mathematical model for the option price leads to a free boundary problem for a parabolic partial differential equation. Applying fixed domain transformation and transformation of variables we develop an efficient numerical algorithm based on a solution to a non-local parabolic partial differential equation for the transformed variable representing the synthesized portfolio. For various types of averaging methods we investigate the dependence of the early exercise boundary on model parameters.
---
PDF链接：
https://arxiv.org/pdf/1101.3071
京公网安备 11010802022788号
