报告人：徐光利 副教授（对外经济贸易大学）

时间：2025年04月24日 10:00-

地点：600cc全讯白菜LD718

摘要：In this paper, we generalize the Equivalent Expectation Measures Theory (see Nawalkha and Zhuo (2022)) to obtain the solutions of expected future prices (and therefore, expected returns) of American options over a finite holding horizon. Under the general affine jump-diffusion (AJD) model, we show that the expected future prices of American put options can be expressed as the supremum of discounted (until future holding horizon date) expectation of final or exercised option payoff under the equivalent expectation measure R, then the traditional pricing methods for standard American options can be used similarly under the R measure to obtain the solution of expected prices. Moreover, we find that the current and future prices of American options can be regarded as a European derivative with expiration T_e and the payoff P^S_{T_e} (the price of standard American options at time T_e). As a few special cases, we derive the PDEs (PIDEs) of the current price or the expected future price of American option under classical Black-Scholes model, stochastic volatility model, SV model and SVJJ model. In addition, we obtain the analytic formula for the current price and expected future price of perpetual American option under Black-Scholes model.

邀请人: 张志民

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