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主办：中国优选法统筹法与经济数学研究会
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中国管理科学

中国管理科学 ›› 1997, Vol. ›› Issue (2): 12-15.

• 论文 • 上一篇    下一篇

美式认购期权最佳执行时间决策

刘思峰1, 林益2   

  1. 1. 河南农业大学管理科学研究所, 450002;
    2. 美国宾州州立斯里波瑞·罗克大学数学系, PA16057
  • 收稿日期:1996-12-19 出版日期:1997-06-28 发布日期:2012-03-06
  • 基金资助:
    国家自然科学基金;渤海首批杰出青年科学基金

Decisiou on the Optimum Exercise Time of an American Call Option

Liu Sifeng1, Lin yi2   

  1. 1. Management Science Research Institute, Henan Agricultural University, Zhengzhou 450002;
    2. Slippery Rock University of Pennsylvania, Department of Mathematics
  • Received:1996-12-19 Online:1997-06-28 Published:2012-03-06

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摘要： 期权最佳执行时间是一个十分复杂的问题,受到许多随机因素的影响,至今还没有得到很好地解决．本文运用马尔可夫转移概率,讨论了满足齐次性条件的平稳系统中美式认购期权的最佳执行时间决策问题．研究了几种常见概率分布的最佳执行时间集．定理3－6的结论,与期权交易市场的实际情况吻合较好．主要结果可以直接应用到股票、期货交易、工程项目投资决策以及国家重大科技、经济、政治、军事战略决策之中．

关键词: 认购期权, 最佳执行时间, 决策模型

Abstract: Optimum excrcise time of an option is a very complicated metter. It is affected by manystochastic factors and so far have not been completely solved. In this paper, we discuss the optimum exercise time of an American call option by Markov transition probabilities under the supposition that stationary and uniform condition were satisfied. Sets of optimum exercise time about some common probabilitymodels have been studied. The conclusion in the theorem 3-6 can fairly suit to the actual situation of theoption exchange market. The main conclusion could be directly applied to stock and future exchange, project investment decision and some significant state strategic decision on science and technology, economy,political and military affairs and so on.

Key words: Call option, Optimum exercise time, Decision model