带有事件风险的永久美式期权的定价  

The Valuation of Permanent American Options in the Presence of Event Risk

作　　者：陈永娟[1] 刘继春[1] 林顺发[1] 

机构地区：[1]厦门大学数学科学学院,福建厦门361005

出　　处：《厦门大学学报（自然科学版）》2006年第3期323-327,共5页Journal of Xiamen University：Natural Science

摘　　要：主要研究带有事件风险的永久美式期权的定价及其最优停时问题.当事件发生时,期权就停止,期权的卖方就要付给期权执有者一定的打折后的支付.因此,事件风险的存在会影响期权执有者的执行策略.本文在一个合适的等价鞅测度下,给出了带有事件风险的永久美式期权的定价及其最优停时.进一步地推导了带有事件风险的永久美式期权的上界和下界.In this paper, the valuation of permanent American options in the presence of non-hedgeable event risk is considered. When the event occurs, the permanent American option is terminated and a rebate is paid instead of the promised pay-off profile. Consequently,the presence of event risk influences the exercise straegy of the option holder. Then, for a given equivalent martingale measure, the optimal stopping problem of the permanent American option is solved. As a main result, no-arbitrage bounds for permanent American option values in presence of envet risk are derived.

关 键 词：永久美式期权 最优停时 事件风险 Game期权 

分 类 号：O211.9[理学—概率论与数理统计] F840.62[理学—数学]