| 一类欧式看跌幂期权的定价 |
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| 引用本文： | 徐峰,周圣武,郑石秋.一类欧式看跌幂期权的定价[J].云南大学学报(自然科学版),2007(Z1). |
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| 作者姓名： | 徐峰 周圣武 郑石秋 |
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| 作者单位： | 中国矿业大学理学院 江苏徐州221008 |
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| 摘 要： | 根据回望期权的不同类型,对普通欧式具有固定敲定价格看跌幂期权和部分时间结束欧式具有固定敲定价格看跌幂期权给出定义,按照不发放红利和发放红利2种情形,分别给出定价公式,为市场参与者提供了理论参考价格.
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| 关 键 词： | Esscher变换 欧式期权 布朗运动 红利 定价 |
Pricing a class of European power put options |
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| XU Feng,ZHOU Sheng-wu,ZHENG Shi-qiu.Pricing a class of European power put options[J].Journal of Yunnan University(Natural Sciences),2007(Z1). |
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| Authors: | XU Feng ZHOU Sheng-wu ZHENG Shi-qiu |
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| Abstract: | According to different kinds of lookback options,it is defined ordinary European Fixed-strike power put option and Partialtime-end Fixed-strike power put option.Then it is derived the pricing formulas on a non-dividend-paying asset,which can be extended to the case where the asset pays dividends continuously.So a reference price is provided in practice. |
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| Keywords: | Esscher transforms European options Brown motion dividend pricing |
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