交易成本
计算机科学
最大化
数据库事务
看跌期权
微观经济学
方案(数学)
非线性定价
期权估价
精算学
数学优化
经济
计量经济学
数学
数据库
数学分析
作者
Xiaoping Lü,Dong Yan,Song‐Ping Zhu
标识
DOI:10.1016/j.amc.2021.126684
摘要
American option pricing plays an essential role in quantitative finance and has been extensively studied in the past. However, how transaction costs affect the American option price, particularly the most important feature of American options, the optimal exercise price, is much less investigated. It is primarily because such a study must be conducted under an incomplete market, which presents additional difficulties on top of an already difficult nonlinear mathematical problem. This paper attempts to provide a supplement study in this area by analyzing the optimal exercise price of an American option in addition to the option price itself in the presence of transaction costs through a utility-based approach. With a computationally efficient numerical scheme, we are able to demonstrate clearly how the optimal exercise price should be calculated and consequently how the option prices for the buyer and writer as well as the early exercise decision are affected by the inclusion of transaction cost.
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