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| 离散模型下的美式期权定价 | |
| 引用本文： | 朱文华 金治明. 离散模型下的美式期权定价[J]. 数学理论与应用, 2006, 26(4): 51-53 |
| 作者姓名： | 朱文华 金治明 |
| 作者单位： | 国防科技大学理学院，国防科技大学理学院 长沙，410073，长沙，410073 |
| 摘 要： | 本文考虑离散时间金融市场模型中由效用函数U(x)所产生的报酬序列(U1 (Srn))n的最优停止问题.其中U(x)是由股票价格产生的效用. |
| 关 键 词： | 最优停时 美式期权 鞅 效用函数 |
| 收稿时间： | 2006-03-08 |
American Option Pricing in the Modal of Discrete Time |
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| Zhu Wenhua, Jin Zhiming. American Option Pricing in the Modal of Discrete Time[J]. Mathematical Theory and Applications, 2006, 26(4): 51-53 | |
| Authors: | Zhu Wenhua Jin Zhiming |
| Affiliation: | College of Science,The National University of Defense Teehnology,Changsha,410073 |
| Abstract: | In this paper we consider theoptimal stopping problem of reward sequence U(S_n)(1 r)~n generated by utility function U(x) in the financial market model of discrete time.where U(x) is the utility generated by stock price. |
| Keywords: | optimal stopping time American option martingale Utility function |
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