| 带跳的美式与永久美式期权的定价与停时 |
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| 引用本文： | 李小亮,刘新平. 带跳的美式与永久美式期权的定价与停时[J]. 济南大学学报(自然科学版), 2009, 23(1) |
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| 作者姓名： | 李小亮 刘新平 |
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| 作者单位： | 1. 浙江林学院,浙江,临安,311300
2. 陕西师范大学,数学与信息科学学院,陕西,西安,710062 |
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| 摘 要： | 首先考虑报酬效用函数U(x)特殊情况下,运用最优停止理论,给出标的资产价格服从跳过程模型下美式期权的最优停时表达式,得到美式期权的最佳实施期为到期日T,此时美式期权变成欧式期权,并且期权的初始价值为C*0;其次,利用鞅方法讨论标的资产价格服从跳过程永久美式未定权益h(X1),得到最佳实施期为τ*,期权的初始价值为C*.
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| 关 键 词： | 永久美式期权 跳过程 定价 最优停时 |
The Pricing of the Preferred Hedging Aermicancontingent Claims Under Transaction Costs |
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| LI Xiao-liang,LIU Xin-ping. The Pricing of the Preferred Hedging Aermicancontingent Claims Under Transaction Costs[J]. Journal of Jinan University(Science & Technology), 2009, 23(1) |
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| Authors: | LI Xiao-liang LIU Xin-ping |
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| Affiliation: | 1.Zhejiang Forestry University;Lin'an 311300;China;2.College of Mathematics and Information Scicence;Shanxi Normal University;Xi'an 710062;China |
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| Abstract: | Considering return utility function U(x) under specific conditions,and using optimal stopping theories,we obtain optimal stopping formulas of American option based on the assumption that the process of underlying asset's pricing follows jump process,and make sure that American option's best tread time is the expiration date T.At the same time,American options becomes European options,and options'initial value is C*0.Next,by using the method of martingales,we discuss the optimal stopping formulas of perpetua... |
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| Keywords: | perpetual American contingent jump process pricing optimal-stopping |
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