首页 | 本学科首页   官方微博 | 高级检索  
     检索      

标的资产带有红利支付的回望期权定价
引用本文:桑利恒.标的资产带有红利支付的回望期权定价[J].长春大学学报,2014(12):1671-1674,1680.
作者姓名:桑利恒
作者单位:滁州学院数学科学学院
基金项目:安徽高校省级自然科学研究资助项目(KJ2012Z284); 滁州学院科学研究资助项目(2011KJ003B)
摘    要:利用测度变换方法研究了一种强路径依赖型奇异期权——回望期权的定价问题,同时考虑了该期权中标的资产有红利支付的情况。首先建立几何布朗运动下的价格模型,其次应用随机分析知识建立等价测度,得出风险中性定价公式,最后利用风险中性定价公式得出回望期权定价公式的显示解。

关 键 词:测度变换  风险中性  回望期权

Valuation of Lookback Option of Underlying Asset with Dividend Payment
SANG Liheng.Valuation of Lookback Option of Underlying Asset with Dividend Payment[J].Journal of Changchun University,2014(12):1671-1674,1680.
Authors:SANG Liheng
Institution:SANG Liheng (School of Mathematical Science, Chuzhou University, Chuzhou 239000, China)
Abstract:The method of measure transformation is used to study the pricing problem of a kind of strong path dependence exotic option--lookback option, taking the condition of underlying asset with dividend payment into account. First, the pricing model under geometric Brownian motion is established, then the equivalent measure is established by the application of stochastic analysis knowledge to obtain the risk-neutral pricing formula, finally, the explicit solution of the lookback option pricing is derived by the risk-neutral pricing formula.
Keywords:measure transformation  risk neutrality  lookback option
本文献已被 CNKI 维普 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号