【摘要】 研究了具有比例上界的永久美式交换期权定价问题,先通过变量代换将问题化简,化成只有一个自变量的常微分方程自由边界问题.再根据边界的两种不同情况分别找到满足条件的解,并证明解的唯一性.更多还原

【Abstract】 In this paper we consider the problem of perpetual American exchange option with proportional cap.First,we use the variable substitution to simplify the problem,and get an ordinary differential equation which has one variable only.Then,we find solutions to meet the two different kinds of boundaries.Finally,we prove the uniqueness of solution.更多还原