DYNAMIC VALUATION OF OPTIONS ON NON-TRADED ASSETS AND TRADING STRATEGIES  

作　　者：MI Hui ZHANG Shuguang 

机构地区：[1]School of Mathematical Sciences,Nanjing Normal University [2]Department of Statistics and Finance,University of Science and Technology of China

出　　处：《Journal of Systems Science & Complexity》2013年第6期991-1001,共11页系统科学与复杂性学报（英文版）

基　　金：supported by the National Basic Research Program of China(973 Program)under Grant No.2007CB814901;the National Natural Science Foundation of China under Grant Nos.11101215 and 61304065;the Program of Natural Science Research of Jiangsu Higher Education Institutions of China under GrantNo.12KJB110011

摘　　要：This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization framework.Under the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.

关 键 词：Non-traded asset option pricing portfolio selection stochastic control. 

分 类 号：F830.9[经济管理—金融学] TM73[电气工程—电力系统及自动化]