基于指数障碍期权的抛物方程的存在性和唯一性

考虑了一类基于指数障碍期权的拟线性抛物型方程. 首先在b(t,x)=c(t,x)=0情形下运用标准的Schauder理论证明了该抛物型方程问题存在一个属于Cα,1+α/2的唯一解. 其次, 运用变换的方法将该结论推广到了一般方程.

Existence and Uniqueness of Parabolic Problem Arising in Exponential Double Barrier Options

The quasilinear parabolic equation arising in the exponential double barrier options was considered. First, by using standard Schauder theory, we prove that, conclusion under the special case, b(t,x)=c(t,x)=0. Second, we extend the upper result to the general case by the transformation.