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对于永久美式封顶看跌期权,就是在永久美式期权的基础上加上了如下条件:当标的资产的价格达到合约规定的下限时,期权的出售方有权按执行价格与合约下限价格的差价来回购.本文将在标的资产价格的对数收益率遵从Lévy过程的条件下,对永久美式封顶期权进行定价研究.主要的思路是:将这个期权定价问题转化成为最优停止问题,运用Wiener-Hopf因子分解来寻找最优停止规则,进而得到该期权的定价结论 .
For a permanent American capped put option, a permanent American option is added to the following conditions: When the price of the underlying asset reaches the lower limit of the contract, the seller of the option has the right to trade back the difference between the strike price and the contract lower limit price Order a copy of this thesis This paper studies the pricing of permanent American ceiling options under the Lévy process with the logarithmic rate of return on the underlying asset price.The main idea is to convert this option pricing problem into the optimal stop problem and use Wiener-Hopf Factor decomposition to find the optimal stop rule, and then get the option pricing conclusion.