摘要
对具随机折现的博弈期权定价问题进行了研究,在满足一个可积性条件的情况下,借用过份函数等工具给出了期权价格的表达式和买卖双方的最优停止策略.对于不满足可积性条件的情况,推广了相关文献的结果,并给出了τ*存在的条件.最后给出了一个例子.
In this paper,some problems of pricing game option with random discounting are considered.Under the integrability condition,the expressions of the game option and the optimal stopping strategies for the holder and writer are given by excessive function.For the case that there is no integrability condition,the results of related documents are extended and the condition under which τ＊ exists is given.At last one example is shown.
出处
《纯粹数学与应用数学》
CSCD
2010年第3期458-466,共9页
Pure and Applied Mathematics
关键词
博弈期权
过份函数
随机折现
game option
excessive function
random discounting
