跳扩散路径依赖期权在固定比例交易费用下的的计算

详细信息

Jump-diffusion path-dependent option compute under fixed proportional cost

摘要: 考虑了市场存在交易费用下的跳扩散路径依赖期权的定价问题,将该问题转化为两元的随机控制问题. 给出了股票价格服从跳扩散下的价值函数对应的积分微分不等方程，并通过马氏链对变分问题进行离散，证明了离散形式是变分不等式的约束粘性解.
- 效用最大化 /
- 路径依赖 /
- 跳扩散 /
- 马尔科夫链 /
- 约束粘性解 /
- 随机控制
Abstract: A problem of pricing jump-diffusion path-dependent option is considered in the market with transaction costs. The problem is transformed to a stochastic control problem with two control variables. Integral-differential inequality in corresponding with the value function which the stock price follows jump-diffusion is given. Based on the Markov chain to the discrete form, it is shown that the discrete form is the constraint viscosity solution of the variational inequality.
- Utility maximization /
- path dependent /
- jump diffusion /
- Markov chain /
- constrained viscosity solution /
- stochastical control