离散时间美式期权套期及停时分析

Hedging and Stopping-time Analysis About an American Option with Discrete time

本文主要证明了在不存在交易成本的市场假设下离散时间美式期权套期价值过程{ Vt,Ft,t 0}为鞅。并且研究了美式期权的停时,分别给出了美式期权的可停时,首停时,最优停时的方程表达式,同时讨论了与他们相关的期望特征,以及研究了美式期权定价问题。

The paper mainly proves a discretetime american option hedging value process{t,Ft,t0}being a martingale without transaction cost. At the same time, study the stoppingtime of an american option, and give equations about permissible stoppingtime, first stoppingtime, optimal stoppingtime of a discretetime american option respectively, and consider the expected characters ablout them.