【摘要】 考虑离散时间金融市场模型中美式期权的定价问题,在股票价格服从指数假设的条件下,利用期权定价鞅方法给出了以该股票价格为标的资产的美式期权价格的一个上界.该上界与期权持有者选定执行期权的时间无关,因此可供期权出让者估计其平均损失.更多还原

【Abstract】 The problem of an American option pricing is considered in the financial market model of discrete time. Under the conditions of stock price submitting to the exponential hypothesis, we obtain an upper bound of the value of the American option on this stock price by using the martingale method of option pricing. The upper bound is irrelative to the time selected by the holder, and hence it can give the option writer an estimation to assets his average loss.更多还原