American Straddle Option?

摘要：

In this paper, we analyze the behavior of exercise boundary of American straddle option applying PDE method. If dividend is zero, it has only one exercise boundary. And if dividend is positive, it possesses two exercise boundaries. It is technical in mathematics to show the existence of exercise boundaries of perpetual American straddle option. In turn, the result can be used to determine the bounds of exercise boundaries of American straddle option. On other hand those results are meaningful in practical finance, based on the results investor can determine to exercise his option or not, the issuer of the option may construct the portfolio for hedging the risk.

关键词：straddle option、exercise boundary、variational inequality

分类号：O175.29(数学分析)

在线出版日期：2012-11-06（万方平台首次上网日期，不代表论文的发表时间）

页数：共4页

页码：787-790