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 framework.Under the assumption that the option can be ...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 framework.Under 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 techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.展开更多
含多能源站的区域综合能源系统(district integrated energy system,DIES)具有多层级、多运营主体的特征,难以采用传统的集中式方法优化调度。为保证不同运营主体的利益与隐私,该文提出了一种考虑阶梯型碳交易机制的区域电-热综合能源...含多能源站的区域综合能源系统(district integrated energy system,DIES)具有多层级、多运营主体的特征,难以采用传统的集中式方法优化调度。为保证不同运营主体的利益与隐私,该文提出了一种考虑阶梯型碳交易机制的区域电-热综合能源系统分布协同调度方法。首先分析运营主体特性,构建计及热网动态特性和站间互济的综合能源系统模型。在此基础上,构建综合能源系统双层优化调度模型:在系统调度层中,以运营商的经济性和低碳性为目标;在站间调度层中,能源站根据系统调度层的优化结果,调整自身调度策略以实现利益最大化。最后,采用目标级联分析算法(analysis target cascade,ATC)实现交互变量的解耦,并提出了层内迭代、层间互联的求解方法。仿真结果表明,所提调度方法可提高系统运行的低碳经济水平,并通过分布优化兼顾各主体的利益诉求,更满足实际调度需求。展开更多
基金supported by the National Basic Research Program of China(973 Program)under Grant No.2007CB814901the National Natural Science Foundation of China under Grant Nos.11101215 and 61304065the Program of Natural Science Research of Jiangsu Higher Education Institutions of China under GrantNo.12KJB110011
文摘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 framework.Under 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 techniques.The dynamic option pricing equations are also established.In particular,the properties of the associated solutions are discussed and their explicit representations are demonstrated via the Feynman-Kac formula.This paper further compares the dynamic option price to the existing price notions,such as the marginal price and indifference price.
