主 讲 人： 对外经济贸易大学， 徐光利 副教授

报告时间：2025年7月7日 下午14：30-15：30

报告地点：览秀楼105学术报告厅

报告摘要:  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.

主讲人简介：徐光利，理学博士，对外经济贸易大学 统计学院数量金融系副教授，硕士生导师。南开大学理学博士，瑞士洛桑大学访问博士生。主要研究方向有金融衍生品定价，信用风险管理，随机分析和计算。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发表论文10余篇，主持国家自然科学基金青年项目《几类典型双斜过程的性质及其在金融衍生品定价中的应用研究》以及《基于几种波动率模型的期权定价及参数估计》入选第八批惠园优秀青年学者培育项目。