| 实物期权问题中的核验定理 |
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| 引用本文： | 官琳琳.实物期权问题中的核验定理[J].山东科技大学学报(自然科学版),2004,23(4):81-84. |
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| 作者姓名： | 官琳琳 |
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| 作者单位： | 南京气象学院,数学系,江苏,南京,210044 |
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| 摘 要： | 给出多维实物期权中带有停时的核验定理及其证明，通过核验定理建立最优停时问题的值函数与HJB方程的解之间的关系，为解决实物期权定价问题提供了有力的工具。
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| 关 键 词： | 实物期权 核验定理 HJB方程 |
| 文章编号： | 1672-3767(2004)04-0081-04 |
| 修稿时间： | 2004年6月27日 |
Verification Theorem in Problem of Real Options |
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| GUAN Lin-lin.Verification Theorem in Problem of Real Options[J].Journal of Shandong Univ of Sci and Technol: Nat Sci,2004,23(4):81-84. |
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| Authors: | GUAN Lin-lin |
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| Abstract: | In this paper, we provide the verification theorem with stopping time and its proof in problems about multi-dimensional real options, and establish a connection between the value functions of problem about optional control and HJB equation, which provides a powerful tool to solve problems about real options pricing. |
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| Keywords: | real options verification theorem HJB equation |
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