给定效用函数下美式期权的定价

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摘要考虑以效用函数U(x)=xα,α>1为报酬函数的美式期权定价问题。运用最优停止理论得到其在有限离散模型下的最佳实施期为最后时刻,并给出相应的美式期权定价。

作者成军祥贾东芳

机构地区河南理工大学数学与信息科学学院

出处《现代商贸工业》 2009年第11期155-156,共2页 Modern Business Trade Industry

关键词最优停时美式期权最佳实施期

参考文献6

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现代商贸工业

2009年第11期

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