The Value of the Perpetual American Call on the Time-Average of the Stock
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概要
- 論文の詳細を見る
We consider the problem of pricing the perpetual American call on the time-average of the stock. We prove that the value of this American contingent claim is the optimal expected payoff function g* of the associated optimal stopping problem. And g* is characterized by a unique solution of the associated free-boundary problem. We also identify an integral equation solved by the boundary function.
- 東北大学の論文
著者
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Adachi Takashi
Department Of Mechanical Engineering Saitama Institute Of Technology
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Adachi Takashi
Department Of Surgery I Tokyo Women's Medical University
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Adachi Takashi
Department Of Food And Nutrition Faculty Of Agriculture Kinki University
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Adachi Takashi
Department Of Mathematics And Statistics School Of Medicine Fukushima Medical University
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Adachi Takashi
Department Of Applied Mechanics And Aerospace Engineering Waseda University
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