Many financial contracts are equipped with exercise rights or other features enabling the parties to actively shape the contract’s payoff. These decisions pose a great challenge for the pricing and hedging of such contracts. The existing literature deals with these decisions by providing methods for specific contracts that are not easily transferable to other models. In this paper we present a framework that allows us to separate the treatment of the decisions from the pricing problem and derive a general pricing principle for the price of an option with decisions by both parties. To accomplish this, we present a general version of the duality between acceptance sets and pricing functions, and use it to translate the pricing problem into the language of acceptance. Expressing certain aspects of economic behavior in this language is sufficient to fully eliminate the decisions from the problem. Further, we demonstrate why time consistent pricing functions are crucial when dealing with options with embedded decisions and how the pricing functions used in many contributions can be derived if time consistency is added to our minimal set of assumptions.

许多金融合约都配备了行使权或其他功能，使各方能够积极塑造合约的收益。这些决策对此类合约的定价和对冲提出了巨大的挑战。现有文献通过为特定合约提供不易转移到其他模型的方法来处理这些决策。在本文中，我们提出了一个框架，使我们能够将决策的处理与定价问题分开，并根据双方的决策得出期权价格的一般定价原则。为了实现这一目标，我们提出了接受集和定价函数之间对偶性的通用版本，并用它来将定价问题转化为接受语言。用这种语言表达经济行为的某些方面足以完全消除问题中的决策。此外，我们还论证了为什么时间一致的定价函数在处理具有嵌入式决策的选项时至关重要，以及如果将时间一致性添加到我们的最小假设集中，如何导出许多贡献中使用的定价函数。