论文标题
在具有可选危险过程的市场模型中脆弱的欧洲和美国选择
Vulnerable European and American Options in a Market Model with Optional Hazard Process
论文作者
论文摘要
我们研究了欧美风格选择价格的上限和下限，并有可能发生外部终止，这意味着合同可以在某个随机时间终止。假设潜在的市场模型是不完整且无摩擦的，我们获得了二元性结果，将脆弱的欧洲期权的上价与美国期权的价格联系起来，其锻炼时间限制为外部终止可能以非零概率发生的时间。同样，脆弱的美国选择的上和下价分别与美国选项和游戏期权的价格分别相关。特别是，游戏选项的最小化器只能有时停止，而外部终止可能会出现非零概率。
We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time. Under the assumption that the underlying market model is incomplete and frictionless, we obtain duality results linking the upper price of a vulnerable European option with the price of an American option whose exercise times are constrained to times at which the external termination can happen with a non-zero probability. Similarly, the upper and lower prices for an vulnerable American option are linked to the price of an American option and a game option, respectively. In particular, the minimizer of the game option is only allowed to stop at times which the external termination may occur with a non-zero probability.
