INTEGRAL OPTION

被引:13
作者
KRAMKOV, DO [1 ]
MORDECKY, E [1 ]
机构
[1] VA STEKLOV MATH INST, MOSCOW 117333, RUSSIA
关键词
BLACK AND SCHOLES MODEL OF (B; S)-MARKET AMERICAN OPTION; INTEGRAL OPTION; ASIAN OPTION; OPTIMAL STOPPING TIME; KUMMERS FUNCTIONS; RATIONAL TIME;
D O I
10.1137/1139007
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
In the context of diffusion model of the (B, S)-market consisting of two assets: riskless bank account B = (B-t)(t greater than or equal to 0) and risky stock S = (S-t)(t greater than or equal to 0) described by (1.1) and (1.2) we consider the option of American type with payment function of ''integral type'' f = (f(t))(t greater than or equal to 0): f(i) = e (-lambda t)[integral(0)(t) Su du + s psi(0)], The paper solves the problem of difinition of the fair price of the integral option under consideration. The structure of the expiration time is also described.
引用
收藏
页码:162 / 172
页数:11
相关论文
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