| 交换期权定价的新方法—保险精算方法 |
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| 引用本文： | 毕学慧,张炳明. 交换期权定价的新方法—保险精算方法[J]. 阜阳师范学院学报(自然科学版), 2007, 24(4): 50-52 |
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| 作者姓名： | 毕学慧 张炳明 |
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| 作者单位： | 阜阳师范学院,计算机与信息学院,安徽,阜阳,236032 |
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| 摘 要： | 在Mogens Bladt,Tina Hviid Rydberg无市场假设、仅利用公平保费原则和价格过程的实际概率测度的期权保险精算定价模型的基础上,文章在无风险利率γ和股价波动率σ均为常数且不支付红利的情况下,用保险精算方法给出了欧式看涨交换期权的表达式,并得到了股票价格遵循几何布朗运动时的精确定价公式.
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| 关 键 词： | 交换期权 期权定价 精算方法 |
| 文章编号： | 1004-4329（2007）04-0050-03 |
| 收稿时间： | 2007-09-12 |
| 修稿时间： | 2007-09-12 |
New Method to Pricing on Option to Exchange One Asset to Another-An Actuarial Approach |
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| BI Xue-hui,ZHANG Bing-ming. New Method to Pricing on Option to Exchange One Asset to Another-An Actuarial Approach[J]. Journal of Fuyang Teachers College:Natural Science, 2007, 24(4): 50-52 |
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| Authors: | BI Xue-hui ZHANG Bing-ming |
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| Abstract: | Without market assumptions,Mogens Bladt and Tina Hviid Rydberg apply merely probability measure of price process and the principle of fair premium an actuarial approach for pricing options,When the riskless interest rate r and the volatility of the stock are constants,in no intermediate dividends,we deal with pricing formula of European call options to exchange one asset to another by using actuarial approach,and the accurate pricing formula is given on a stock price submitting to Geometric Brownian Motion. |
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| Keywords: | option to exchange one asset to another option pricing actuarial approach. |
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