| 引用本文: | 金治明,王勇献.一类扩散过程的最优停止.[J].国防科技大学学报,1999,21(5):98-102.[点击复制] |
| Jin Zhiming,Wang Yongxian.Optimal Stopping about a class of Diffusion Processes[J].Journal of National University of Defense Technology,1999,21(5):98-102[点击复制] |
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| 一类扩散过程的最优停止 |
| 金治明, 王勇献 |
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(国防科技大学 系统工程与数学系 湖南 长沙 410073)
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| 摘要: |
| 金融数学中关于美式期权的定价理论最后归结为一个对扩散过程的最优停止问题, 扩散过程是特殊的马氏过程, 本文讨论了当报酬函数非负时的值函数性质及其最优停时的表示。特别对带折扣的报酬的讨论, 更加符合金融数学的需要。 |
| 关键词: 金融数学, 扩散过程, 最优停止 |
| DOI： |
| 投稿日期：1999-04-01 |
| 基金项目:国家自然科学基金资助 |
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| Optimal Stopping about a class of Diffusion Processes |
| Jin Zhiming, Wang Yongxian |
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(Department of Systems Engineering and Mathematics, NUDT, Changsha, 410073)
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| Abstract: |
| The theory of American option pricing has finally come to a problem about optimal stopping. In the paper We discuss opitimal stopping of diffusion processes, because we deal with diffusion processes in the American option pricing. Especially, a payment function with discount are discussed. |
| Keywords: mathematical finance, diffusion processes, opitimal stopping |
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