摘要
给出了离散型美式期权价格和最优停时的概念,通过瞬时利润、标准市场、投资组合以及Fn-适应、期望回报、期望价格等进行了描述,利用[3]中关于最优停时的性质的刻划及表示定理,证明了离散型美式期权的最大化最优套期交易时刻是一个最优停时。
In this paper, the concepts of the price of discrete-time America option and optimal stopping-time are defined, these concepts are discribed through moment-efficient, standard-market, combined investment, expectative-return and expectative price. An important result has been obtained that the optimal hedging-time of discrete-time America option actually is a stopping-time by represent theorem of stopping-time and description theorem in reference.
出处
《重庆建筑大学学报》
CSCD
2003年第2期99-101,111,共4页
Journal of Chongqing Jianzhu University
