| 带有事件风险的永久美式期权的定价 |
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| 引用本文： | 陈永娟,刘继春,林顺发.带有事件风险的永久美式期权的定价[J].厦门大学学报(自然科学版),2006,45(3):323-327. |
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| 作者姓名： | 陈永娟 刘继春 林顺发 |
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| 作者单位： | 厦门大学数学科学学院,福建,厦门,361005 |
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| 摘 要： | 主要研究带有事件风险的永久美式期权的定价及其最优停时问题．当事件发生时．期权就停止。期权的卖方就要付给期权执有者一定的打折后的支付．因此，事件风险的存在会影响期权执有者的执行策略．本文在一个合适的等价鞅测度下，给出了带有事件风险的永久美式期权的定价及其最优停时．进一步地推导了带有事件风险的永久美式期权的上界和下界．
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| 关 键 词： | 永久美式期权 最优停时 事件风险 Game期权 |
| 文章编号： | 0438-0479(2006)03-0323-05 |
| 收稿时间： | 11 30 2005 12:00AM |
| 修稿时间： | 2005年11月30 |
The Valuation of Permanent American Options in the Presence of Event Risk |
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| CHEN Yong-juan,LIU Ji-chun,LIN Shun-fa.The Valuation of Permanent American Options in the Presence of Event Risk[J].Journal of Xiamen University(Natural Science),2006,45(3):323-327. |
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| Authors: | CHEN Yong-juan LIU Ji-chun LIN Shun-fa |
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| Institution: | Shool of Mathematical Seienee,Xiamen Univ, , Xiamen 361005, China |
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| Abstract: | In this paper, the valuation of permanent American options in the presence of non-hedgeable event risk is considered. When the event occurs, the permanent American option is terminated and a rebate is paid instead of the promised pay-off profile. Consequently,the presence of event risk influences the exercise straegy of the option holder. Then, for a given equivalent martingale measure, the optimal stopping problem of the permanent American option is solved. As a main result, no-arbitrage bounds for permanent American option values in presence of envet risk are derived. |
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| Keywords: | permanent American options optimal stopping time event risk Game options |
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