Valuation of American Option under A Fractional Diffusion Model

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：yuyugugu

【摘要】

：

　　We concentrate on the analytical study of American options under a particular exp-L′evy jump diffusion model,namely CGMYe model.The decomposition formula o

【作者】

：

GUO Xu

【机构】

：

Hong Kong Baptist Univ.

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We concentrate on the analytical study of American options under a particular exp-L′evy jump diffusion model,namely CGMYe model.The decomposition formula of the American option and the integral equation of the optimal-exercise boundary are derived.

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Valuation of American Option under A Fractional Diffusion Model

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