| 再装期权的一种创新及其定价 |
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| 引用本文： | 刘邵容,王会兰.再装期权的一种创新及其定价[J].南华大学学报(自然科学版),2012,26(2):66-69. |
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| 作者姓名： | 刘邵容 王会兰 |
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| 作者单位： | 南华大学数理学院,湖南衡阳,421001 |
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| 摘 要： | 通过引入一个价格障碍,对再装期权持有者在再装日的收益结构进行改进,并用更能反映实际形势的股价的几何平均值代替标准再装期权的固定敲定价格,创设了一种新型再装期权,利用鞅论和随机分析知识,给出了新型期权在O-U过程模型下的定价公式.
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| 关 键 词： | 再装期权 O-U过程模型 布朗运动 定价 |
| 收稿时间： | 2012/4/18 0:00:00 |
An Innovation of Reload Option and Its Pricing |
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| LiU Shao-rong,WANG Hui-lan.An Innovation of Reload Option and Its Pricing[J].Journal of Nanhua University:Science and Technology,2012,26(2):66-69. |
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| Authors: | LiU Shao-rong WANG Hui-lan |
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| Institution: | (School of Mathematics and Physics,University of South China,Hengyang,Hunan 421001,China) |
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| Abstract: | The revenue structure of the reload option holders has been improved through the introduction of a price barrier,a new reload option has been designed by using the geometric mean which can better reflect the actual situation instead of the strike price of the standard reload option,under the hypothesis that the asset price obey the Ornstein-Uhlenback process,the pricing formulas of the new option have been got by using methods of martingale and stochastic analysis. |
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| Keywords: | reload option the Ornstein-Uhlenback process Brown motion pricing |
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