| CARA效用函数下美式期权的定价 |
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| 引用本文：邢迎春.CARA效用函数下美式期权的定价[J].经济数学,2011,(1):18-20 |
| 摘要点击次数: 1970 |
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| 中文摘要:考虑当期权持有者的效用为CARA效用函数U(x)=－e－λx时的美式期权定价问题.运用最优停止理论得到其在有限离散时间金融市场模型下的最佳实施期,并给出相应美式期权的定价公式. |
| 中文关键词:CARA效用函数 美式期权 最佳实施期 |
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| American Option Pricing With CARA Utility |
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| Abstract:We consider the American option pricing problem when the utility of the option holder is CARA utility function such as U(x)=－e－λx.Appling the optimal stopping theory, we obtain the optimal exercise time of the American option in the financial market of finite discrete time model, and give the pricing formula of the American option. |
| keywords:CARA utility function American option optimal exercise time |
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