定价多资产美式期权的半线性Black-Scholes偏微分方程的唯一解

• 作 者: 罗庆丽 盛万成
• 机 构: Department of Mathematics, College of Sciences, Shanghai University, Shanghai 200444, P. R. China
• 出 处: 上海大学学报（英文版）
• 发表日期: 2007年4期
• 关键词: optimal stopping American (call-max/put-min) options semilinear Black-Scholes pa

In this paper, by using the optimal stopping theory, the semilinear Black-Scholes partial differential equation (PDE) was invesigated in a fixed domain for valuing two assets of American (call-max/put-min) options. From the viscosity solution of a PDE, a unique viscosity solution was obtained for the semilinear Black-Scholes PDE.