| 双障碍期权的定价问题 |
| |
| 引用本文： | 王杨, 张寄洲, 傅毅.双障碍期权的定价问题[J].上海师范大学学报(自然科学版),2009,38(4):347-354. |
| |
| 作者姓名： | 王杨 张寄洲 傅毅 |
| |
| 作者单位： | 上海师范大学数理学院,上海,200234 |
| |
| 基金项目： | 上海高校优秀青年教师科研专项基金，上海师范大学科研项目，国家重点基础研究发展计划(973计划)子课题，上海市科委重大科技攻关项目 |
| |
| 摘 要： | 根据初始股票价格S0的位置将双障碍期权划分为两大类,研究了双障碍期权的定价问题,发现双障碍期权或由一份单障碍期权和一份双边敲出期权组合而成或由两份单障碍期权组合而成,从而将双障碍期权的定价问题转化为单障碍期权和双边敲出期权的定价问题.
|
| 关 键 词： | 双障碍期权 单障碍期权 期权定价 |
The pricing problem of double barrier options |
| |
| WANG Yang,ZHANG Ji-zhou,FU Yi.The pricing problem of double barrier options[J].Journal of Shanghai Normal University(Natural Sciences),2009,38(4):347-354. |
| |
| Authors: | WANG Yang ZHANG Ji-zhou FU Yi |
| |
| Institution: | Mathematics and Science College;Shanghai Normal University;Shanghai 200234;China |
| |
| Abstract: | In this paper,double barrier options were divided into two types according to the position of the initial stock price S0.Their pricing problems are studied.We find that double barrier options are composed of either one single barrier option and one double knock-out option or two single barrier options.Thus the pricing problem of double barrier options are transformed to the pricing problems of single barrier options and double knock-out options. |
| |
| Keywords: | double barrier option single barrier option option pricing |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《上海师范大学学报(自然科学版)》浏览原始摘要信息 |
| 点击此处可从《上海师范大学学报(自然科学版)》下载免费的PDF全文 |
