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DYNAMIC VALUATION OF OPTIONS ON NON-TRADED ASSETS AND TRADING STRATEGIES被引量：1
《Journal of Systems Science & Complexity》2013年第6期991-1001,共11页MI Hui ZHANG Shuguang 
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
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 ...
关键词：Non-traded asset option pricing portfolio selection stochastic control. 
Carbon emissions trends with optimal balanced economic growth of China and the USA and some abatement options for China被引量：5
《Journal of Geographical Sciences》2013年第6期991-1004,共14页WANG Zheng ZHU Yongbin PENG Yongming 
National Basic Research Program of China （973 Program）, No.2012CB955804; National Science Foundation of China, No.41201594; CAS Strategic Priority Research Program, No.XDA05150502
It is believed that the global CO2 emissions have to begin dropping in the near fu- ture to limit the temperature increase within 2 degrees by 2100. So it is of great concern to environmentalists and national decision...
关键词：economic growth emissions projection abatement options 
Valuation of Futures Options with Initial Margin Requirements and Daily Price Limit
《Acta Mathematica Sinica,English Series》2010年第3期579-586,共8页Juan LI Yan Ling GU 
Supported by National Natural Science Foundation of China (Grant Nos. 10701050, 10426022);Shandong Province (Grant No. Q2007A04), Postdoctoral Science Foundation of Shanghai (Grant No. 06R214121) ;National Basic Research Program of China (973 Program) (Grant No. 2007CB814904)
The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unl...
关键词：valuation of futures option initial margin requirements daily price limit backward stochastic differential equations 
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