Research On Game Option Pricing Problem With Singular Features

With the rapid development of financial markets,options as an effective means of risk man-agement which have attracted much attention in the market.Based on the different needs of investors,Its form is increasingly diversified,and how to price the option is that we need to solve the key problems.As a new option which has been innovated in recent years,its nature and pricing caused widespread concern in academic circles.As a result of the game option given sellers the right to redeem the option before the expiry date.So it is more flexible than American options,and because the seller can redeem it in advance,its price is cheaper than the corresponding American options.This paper is based on the research of Kiffer,Wang Lei,Guo Peidong and other scholars,research game option price with path dependence and other singular characteristics,analyzes the redemption strategy of game options and the corresponding pricing formula,makes a numerical analysis of the selling party early redemption options to pay penalty due to breach of contract.This article is based on partial differential equation,the random analysis and the option pric-ing theory.Firstly,the game option pricing with Asian features is studied,use the delay imple-mentation compensation theory to define the pricing formula of Asian game option in the whole original asset price,split the option price into three parts to analyze and prove the option seller's best redemption strategy,get the option pricing formula.Utilize the Matlab tool to measure the time t,the volatility ?,t before the original asset price geometric mean alpha times and t at the original asset price ratit?G/S,the riskless interest rate r On the payment of compensation for the advancement of the option by the seller of the Asian game option.Secondly,the pricing of Asian game option with quanto options' characteristics is studied.Considering the exchange rate and knocked price follows geometric distribution and knock price in accordance with the domestic currency under the price of Asian game option,In each case,explore option of the redemption strategy and pricing formula.The influence of the exchange rate F,volatility ?F,correlation co-efficient ?SFand other price parameters on the compensation paid by the seller in advance of the dual currency Asian game option is analyzed.Finally,suppose the option holder's best practice boundary and the barrier level B does not exist in the intersection of the case,the study is type-d up or knocked down,down or knocked out in four cases.discuss the best implementation of boundary,finalize price barriers as well as the level of different position distribution,the option of redemption strategy and obtain the corresponding option pricing formula.