DYNAMIC VALUATION OF OPTIONS ON NON-TRADED ASSETS AND TRADING STRATEGIES

作     者：MI Hui ZHANG Shuguang 

作者机构：School of Mathematical SciencesNanjing Normal University Department of Statistics and FinanceUniversity of Science and Technology of China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2013年第26卷第6期

页      面：991-1001页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 080802[工学-电力系统及其自动化] 0808[工学-电气工程] 020204[经济学-金融学（含∶保险学）] 08[工学] 

基　　金：supported by the National Basic Research Program of China(973 Program)under Grant No.2007CB814901 the National Natural Science Foundation of China under Grant Nos.11101215 and 61304065 the Program of Natural Science Research of Jiangsu Higher Education Institutions of China under GrantNo.12KJB110011 

主　　题：Non-traded asset option pricing portfolio selection stochastic control. 

摘      要：This paper investigates the pricing of options written on non-traded assets and trading strategies for the stock and option in an exponential utility maximization *** the assumption that the option can be continuously traded without friction just as the stock,a dynamic relationship between their optimal positions is derived by using the stochastic dynamic programming *** dynamic option pricing equations are also *** particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac *** paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.