不同风险态度下美式期权的定价

Pricing of American options under different risk attitude

考虑了基于不同风险态度的美式期权在有限离散模型中的定价问题.运用最优停止理论分别从风险偏好和风险厌恶2个角度讨论了美式期权的最佳实施期,并给出了相应的美式期权定价.

The problem of American option pricing is studied based on the different risk attitude in the finite discrete market model. Using optimal stopping theory, the paper discusses the optimal exercise moment of American option from risk preference and risk aversion respectively, and gives the corresponding American option pricing methods.