离散型美式期权的最优套期交易时刻的选择  

Choice of Optimal Hedging Time in Discrete-Time America Option

作　　者：姚建平[1] 

机构地区：[1]四川省行政学院计算机系,四川成都610010

出　　处：《重庆建筑大学学报》2003年第2期99-101,111,共4页Journal of Chongqing Jianzhu University

摘　　要：给出了离散型美式期权价格和最优停时的概念,通过瞬时利润、标准市场、投资组合以及Fn-适应、期望回报、期望价格等进行了描述,利用[3]中关于最优停时的性质的刻划及表示定理,证明了离散型美式期权的最大化最优套期交易时刻是一个最优停时。In this paper, the concepts of the price of discrete-time America option and optimal stopping-time are defined, these concepts are discribed through moment-efficient, standard-market, combined investment, expectative-return and expectative price. An important result has been obtained that the optimal hedging-time of discrete-time America option actually is a stopping-time by represent theorem of stopping-time and description theorem in reference.

关 键 词：离散型美式期权 套期交易 标准市场 投资组合 停时 

分 类 号：F830.9[经济管理—金融学]