| 微分对策方法在期权定价中的应用:理论分析 |
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| 引用本文： | 郑立辉,冯珊,张兢田,王安兴.微分对策方法在期权定价中的应用:理论分析[J].华中科技大学学报(自然科学版),1998(10). |
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| 作者姓名： | 郑立辉 冯珊 张兢田 王安兴 |
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| 作者单位： | 华中理工大学系统工程研究所(郑立辉，冯珊)，华中理工大学经济学院(张兢田，王安兴) |
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| 基金项目： | 中国博士后科学基金资助项目 |
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| 摘 要： | 在最差情况最优的框架下研究存在交易费用时的期权定价问题．在风险厌恶的假设条件下，运用微分对策的上值、下值和值分别给出了期权买价、卖价和公平价格的定义．通过微分对策的降维把期权定价问题归结为求解微分对策的值函数．基于微分对策理论推导出了该值函数满足的偏微分方程．
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| 关 键 词： | 期权定价 交易费用 微分对策 偏微分方程 |
A Differential Game Approach to Option Pricing: Theoretical Analysis |
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| Zheng Lihui,Feng Shan,Zhang Jingtian,Wang Anxing.A Differential Game Approach to Option Pricing: Theoretical Analysis[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,1998(10). |
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| Authors: | Zheng Lihui Feng Shan Zhang Jingtian Wang Anxing |
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| Abstract: | Option pricing in the presence of transaction costs is investigated in the framework of worst-case optimization. Under the assumption of risk-aversion, option writing price, buying price and fair price are defined respectively with the upper value, the lower value and the value of a differen- tial game. Through the reduction of the differential game in dimension, the pricing problem is trans- formed into solving the value function of another differential game. A partial differential equation is obtained for the value function by using the theory of differential games. |
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| Keywords: | option pricing transaction costs differential game partial differential equation Zheng Lihui Dr Institute of System Eng HUST Wuhan 430074 China |
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