CAJ | 학술논문

利用分析方法得到了跳扩散模型下美式看涨、看跌期权的价格和最佳实施边界间的对称性公式.美式看涨和看跌期权价格间的对称关系通常是利用概率理论得到,这里给出了这些结果在跳扩散模型下的另一种证明.此外,由本文所得结果和偏微分方程理论,可以得到跳扩散模型下美式看涨期权的最佳实施边界以及永久关式期权的若干性质.
이용분석방법득도료도확산모형하미식간창、간질기권적개격화최가실시변계간적대칭성공식.미식간창화간질기권개격간적대칭관계통상시이용개솔이론득도,저리급출료저사결과재도확산모형하적령일충증명.차외,유본문소득결과화편미분방정이론,가이득도도확산모형하미식간창기권적최가실시변계이급영구관식기권적약간성질.
We derived symmetry relationships between the values and the optimal exercise boundaries of American puts and calls in a jump-diffusion model by the analytic method. Symmetry relationships between A-merican calls and puts were obtained by probability theory. We gave here another proof of these results in the jump-diffusion model. Also, we showed some properties of American calls and American perpetual options in the jump-diffusion model by PDE arguments and our results.