| 具随机折现的博弈期权定价问题 |
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| 引用本文： | 王磊,金治明,肖艳. 具随机折现的博弈期权定价问题[J]. 纯粹数学与应用数学, 2010, 26(3): 458-466. DOI: 10.3969/j.issn.1008-5513.2010.03.020 |
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| 作者姓名： | 王磊 金治明 肖艳 |
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| 作者单位： | 国防科技大学理学院,湖南,长沙,410073;长沙医学院,湖南,长沙,410219 |
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| 基金项目： | 致谢 感谢审稿专家和责任编辑的意见和建议. |
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| 摘 要： | 对具随机折现的博弈期权定价问题进行了研究,在满足一个可积性条件的情况下,借用过份函数等工具给出了期权价格的表达式和买卖双方的最优停止策略.对于不满足可积性条件的情况,推广了相关文献的结果,并给出了τ＊存在的条件.最后给出了一个例子.
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| 关 键 词： | 博弈期权 过份函数 随机折现 |
The valuation of game option with random discounting |
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| WANG Lei,JIN Zhi-ming,XIAO Yan. The valuation of game option with random discounting[J]. Pure and Applied Mathematics, 2010, 26(3): 458-466. DOI: 10.3969/j.issn.1008-5513.2010.03.020 |
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| Authors: | WANG Lei JIN Zhi-ming XIAO Yan |
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| Affiliation: | WANG Lei 1,JIN Zhi-ming 1,XIAO Yan 2(1.College of Science,National University of Defense Technology,Changsha 410073,China,2.Changsha Medical University,Changsha 410219,China) |
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| Abstract: | In this paper,some problems of pricing game option with random discounting are considered.Under the integrability condition,the expressions of the game option and the optimal stopping strategies for the holder and writer are given by excessive function.For the case that there is no integrability condition,the results of related documents are extended and the condition under which τ＊ exists is given.At last one example is shown. |
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| Keywords: | game option excessive function random discounting |
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