关于欧式交换期权定价的研究 |
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作者单位: | 湖南师范大学数学与计算机科学学院,湖南师范大学数学与计算机科学学院 湖南长沙410081,湖南工业职业技术学院,湖南长沙410208,湖南长沙410081 |
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摘 要: | 讨论在跳跃-扩散模理上某一类多资产型期权即欧式交换期权的定价问题,利用套期保值的方法求出了该期权价格所满足的带终值条件的随机微分方程,该方法还可用于推广得出其它多资产型期权(如商期权,蓝子期权)的B-S定价公式.
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关 键 词: | 跳跃-扩散 欧式交换期权 随机微分方程 |
The Research on Pricing of European Exchange Options |
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Authors: | CHEN Shan WU Yi-dong |
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Institution: | CHEN Shan1,2,WU Yi-dong1 |
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Abstract: | This paper discusses the problem of pricing on some multi-asset option-European Exchange option in jump-diffusion model.By using the hedging strategy,the stochstic differential equation with terminl condition is derived.This method is also useful for the pricing of other multi-asset options such as basket options. |
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Keywords: | jump-diffusion European exchange options stochstic differential equation |
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