| 具有回望特征的永久式博弈期权的定价 |
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| 引用本文： | 郭培栋,陈启宏.具有回望特征的永久式博弈期权的定价[J].内蒙古大学学报(自然科学版),2010,41(2). |
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| 作者姓名： | 郭培栋 陈启宏 |
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| 作者单位： | 1. 上海财经大学金融学院,上海,200433
2. 上海财经大学应用数学系,上海,200433 |
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| 基金项目： | 上海财经大学211工程三期重点学科建设项目;;国家自然科学基金(NSFC10771131);;教育部科技创新工程重大项目培育资金项目(708040);;上海财经大学研究生创新基金(CXJJ-2009-326) |
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| 摘 要： | 博弈期权是一种在美式期权基础上给予发行方在期权有效期内任何时刻都可以进行赎回的一种新式期权.讨论了收益函数具有回望特征的永久博弈期权的定价,利用PDE方法得到了它的闭式解,并分析了最优赎回和最优执行边界.
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| 关 键 词： | 永久博弈期权 回望特征 闭式解 期权定价 |
Pricing of Perpetual Game Options with Lookback Feature |
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| GUO Pei-dong,CHEN Qi-hong.Pricing of Perpetual Game Options with Lookback Feature[J].Acta Scientiarum Naturalium Universitatis Neimongol,2010,41(2). |
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| Authors: | GUO Pei-dong CHEN Qi-hong |
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| Institution: | 1.College of Finance/a>;Shanghai University of Finance and Economics/a>;Shanghai 200433/a>;2.Department of Applied Mathematics/a>;Shanghai Universityof Finance and Economics/a>;Shanghai 200433 |
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| Abstract: | Game options are new American-style options that can be called by the issuer at any moment in the life of the options.The pricing model of the perpetual game options whose payoffs have lookback features is discussed.A closed solution of the options is derived on the basis of PDE approach,and the optimal border of the calling and executing is analyzed. |
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| Keywords: | perpetual game option lookback feature closed solution pricing of options |
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