上海大学学报（英文版）
上海大學學報（英文版）
상해대학학보（영문판）
JOURNAL OF SHANGHAI UNIVERSITY (ENGLISH EDITION)
2007年
4期
344-350
,共7页
optimal stopping%American (call-max/put-min) options%semilinear Black-Scholes partial differential equation (PDE)%viscosity solution%existence%uniqueness.
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.
