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研究生:何國豪
論文名稱:OnoptimalstoppingtimeofcontingentclaimsconcerningTaiwan'slottery
論文名稱(外文):On optimal stopping time of contingent claims concerning Taiwan's lottery
指導教授:胡豐榮胡豐榮引用關係
學位類別:碩士
校院名稱:臺中師範學院
系所名稱:數學教育學系
學門:教育學門
學類:普通科目教育學類
論文種類:學術論文
論文出版年:2003
畢業學年度:91
語文別:中文
論文頁數:21
中文關鍵詞:最佳停止時間樂透
外文關鍵詞:optimal stopping timelotterycontingent claim
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近年來,在金融市場中,財務數學已經扮演著越來越重要的角色了。特別是應用在期貨、選擇權之定價、投資組合與避險套利問題之研究,現在嚴然成為機率論領域中最熱門的話題。基於這樣的研究風氣以及衡量目前台灣最熱門的樂透彩未來極有可能發展成為期貨商品之故。本研究建造了樂透期貨之數學模式並討論最佳停止時間之問題,目的在尋找能使投資人獲取最大的利益之投資時刻,亦即尋找最佳停止時間。

In recent years, financial mathematics has become a very popular subject. Also it is applied to study the problems of futures, pricing of options etc. On other hand the most popular thing in Taiwan is to buy lottery tickets. There is a tendency that Taiwan’s lottery will become an important income for local government. Moreover expanding Taiwan’s lottery to a form of derivative security may be possible in future. Although Taiwan’s lottery is not a derivative security now, we construct a mathematical model of the discrete time to study a visionary derivative security concerning Taiwan’s lottery.
Our purpose in this paper is to find the optimal stopping time.

1 Introduction.................................... 3
2 Definitions and preliminary theorems............ 5
3 The main results................................ 9
3.1 The case of (N < infinite).................. 9
3.2 The case of (N = infinite).................. 14
4 The conclusion.................................. 21

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