二重随机游动模型下美式回望期权的实施边界渐近  

Asymptotic Behavior of American Lookback Options Exercise Boundary Based on Random Walks of Order 2 Model

作　　者：杨朝强 Yang Zhaoqiang(Library,Lanzhou University of Finance and Economics,Lanzhou 730101,China;School of Statistics,Lanzhou University of Finance and Economics,Lanzhou 730101,China)

机构地区：[1]兰州财经大学图书馆 [2]兰州财经大学统计学院

出　　处：《宁夏大学学报（自然科学版）》2019年第4期315-323,共9页Journal of Ningxia University(Natural Science Edition)

基　　金：兰州财经大学科研项目(Lzufe2019C-009,Lzufe2017C-09);甘肃省自然科学基金资助项目(3ZS042-B25-049)

摘　　要：利用有限维不可约二重随机游动模型近似了美式回望期权问题的最优停时.采用对最优停时问题的“连续修正”方法,刻画了价格变量的正态累积概率,从而给出了美式回望期权的提前实施边界,得到了美式回望期权的分解公式.最后用数值仿真模拟了分解公式中提前实施期权金在期权最优实施边界上渐近的有效性.Based on finite-dimensional irreducibility random walks of order 2 model,the optimal stopping of American lookback options are approximated.Through the“continuous correction”method for the optimal stopping problem,the normal cumulative probability of the price variable is described,and the early exercise boundary of the American lookback option is given,then the decomposition formula of the American lookback option is obtained.Finally,the asymptotic effectiveness of the exercise boundary is simulated near expiration.

关 键 词：有限维不可约二重随机游动 最优停时 正态累积概率 提前实施边界 渐近行为 

分 类 号：F830.91[经济管理—金融学] O211.6[理学—概率论与数理统计]