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Pricing of the Perpetual Bermudan Option with Jump-diffusion
Author(s): 
Pages: 11-16
Year: Issue:  2
Journal: JOURNAL OF PUTIAN UNIVERISTY

Keyword:  跳扩散永久百慕大期权最佳实施边界压缩映射;
Abstract: 采用偏微分方程方法讨论了带跳扩散项的永久百慕大期权定价问题.构造了带跳扩散项的永久百慕大期权作为周期解的连续的数学模型,给出了带跳扩散项的永久百慕大期权具有级数形式的解的表达式以及在规定实施日最佳实施边界的位置所满足的非线性方程.
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