主要研究带有事件风险的永久美式期权的定价及其最优停时问题。
In this paper, the valuation of permanent American options in the presence of non-hedgeable event risk is considered.
本文在一个合适的等价鞅测度下，给出了带有事件风险的永久美式期权的定价及其最优停时。
Then, for a given equivalent martingale measure, the optimal stopping problem of the permanent American option is solved.
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