主 講 人： 對外經濟貿易大學， 徐光利 副教授
報告時間：2025年7月7日 下午14：30-15：30
報告地點：覽秀樓105學術報告廳
報告摘要: 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 quasi-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 quasi-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 quasi-American option under classical Black-Scholes model, stochastic volatility model and SVJJ model. In addition, we obtain the analytic formula for the current price and expected future price of perpetual quasi-American option and perpetual standard American option under Black-Scholes model.
主講人簡介：徐光利，理學博士，對外經濟貿易大學 統計學院數量金融系副教授，碩士生導師。南開大學理學博士，瑞士洛桑大學訪問博士生。主要研究方向有金融衍生品定價，信用風險管理，隨機分析和計算。在SCI和SSCI期刊Quantitative Finance、Journal of Applied Probability、North American Journal of Economics and Finance、International Review of Economics and Finance、Methodology and Computing in Applied Probability、Mathematics and Financial Economics、Finance Research Letters發表論文10余篇，主持國家自然科學基金青年項目《幾類典型雙斜過程的性質及其在金融衍生品定價中的應用研究》以及《基于幾種波動率模型的期權定價及參數估計》入選第八批惠園優秀青年學者培育項目。
