• 主题
高级搜索  >
历史搜索 清空历史
首页> 美国政府科技报告 >Pricing of American Options
【24h】

Pricing of American Options

机译：美式期权的定价

获取原文
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

In an important and relatively recent article Bensoussan presents a rigorous treatment of the pricing problem for contingent claims that can be exercised at any time before maturity. He adapts to this situation the Black & Scholes methodology of duplicating the cash flow from such a claim by managing skillfully a self-financing portfolio that contains only the basic instruments of the market, i.e., the stocks and the bond, and that entails no arbitrage opportunities before exercise. Under a condition on the market model called completeness Bensoussan shows that the valuation of such claims is indeed possible and characterizes the exercise time in terms of an appropriate optimal stopping problem. In the study of the latter, Bensoussan employs the so-called 'penalization method,' which forces rather stringent boundedness and regularity conditions on the payoff from the contingent claim. Such conditions are not satisfied, however, by the prototypical examples of such claims, i.e., American call options. The aim of this paper is to offer an alternative methodology on this problem, which is actually simpler and manages to remove the above restrictions.

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号