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英文标题：
《Rationality parameter for exercising American put》
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作者：
K. Gad, J. L. Pedersen
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最新提交年份：
2014
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英文摘要：
The main result of this paper is a probabilistic proof of the penalty method for approximating the price of an American put in the Black-Scholes market. The method gives a parametrized family of partial differential equations, and by varying the parameter the corresponding solutions converge to the price of an American put. For each PDE the parameter may be interpreted as a rationality parameter of the holder of the option. The method may be extended to other valuation situations given as an optimal stopping problem with no explicit solution. The method may also be used for valuations where actors do not behave completely rationally but instead have randomness affecting their choices. The rationality parameter is a measure for this randomness.
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中文摘要：
本文的主要结果是在Black-Scholes市场上近似美式看跌期权价格的惩罚方法的概率证明。该方法给出了一个参数化的偏微分方程组，通过改变参数，相应的解收敛于美式看跌期权的价格。对于每个PDE，该参数可解释为期权持有人的合理性参数。该方法可以推广到其他估值情况，作为无显式解的最优停止问题。该方法也可用于评估参与者行为不完全理性，但随机性影响其选择的情况。合理性参数是这种随机性的一种度量。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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