EPV算子在障碍期权定价中的应用(英文)  

EPV-operators in Barrier Option with a Simple Time Dependent Barrier

作　　者：陈志寅[1] 宋贺[1] 

机构地区：[1]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2014年第2期58-68,共11页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：讨论了在一般Levy过程下的障碍期权定价方法.其障碍是随时间线性变化的,且当标的资产价值超过该障碍时,该期权变为一个普通的美式期权.首先应用EPV算子解决一个带有分红的最优停时问题并应用该结果来定价美式看跌期权.然后,对于永久性的障碍期权,推导出了明确的定价公式,而对于具有有限到期日的该种期权,应用随机化的方法估计该期权的价值.The barrier option of American type with a linear time dependent barrier is studied and the value function is characterized by expected present operators. A general result is firstly derived for an optimal stop- ping problem and then it＇s used to price the American put option with dividend. The underlying asset process can be modeled by a general class of Levy processes. The problem of pricing barrier option with a dynamic barri- er can be reduced to the fixed barrier, by transformation of the underlying process. An approximation of the value of the barrier option with a finite maturity is given by the help of Carr＇s randomization.

关 键 词：障碍期权 LEVY过程 最优停时 EPV算子 

分 类 号：O211.6[理学—概率论与数理统计]