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| 广义交换期权定价 | |
| 引用本文： | 魏正元. 广义交换期权定价[J]. 数学的实践与认识, 2005, 35(9): 34-37 |
| 作者姓名： | 魏正元 |
| 作者单位： | 重庆工学院数理学院,重庆,400050 |
| 摘 要： | 基于风险中性(等价鞅测度)定价理论和经典的Black-Scholes市场环境,我们给出了更一般情形下的欧式交换期权(ExchangeOption)封闭形式的解析定价公式,进而得出了欧式交换期权的价格公式、Black-Scholes期权定价公式. |
| 关 键 词： | 等价鞅测度 期权定价 交换期权 Black-Scholes公式 |
| 修稿时间： | 2004-07-06 |
General Exchange Option Pricing |
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| WEI Zheng-yuan. General Exchange Option Pricing[J]. Mathematics in Practice and Theory, 2005, 35(9): 34-37 | |
| Authors: | WEI Zheng-yuan |
| Abstract: | Based on risk-neutral valuation theorem and Standard Black-Scholes environments, we presented closed-form analytical pricing formulae for a general type of European exchange options, consequently, which yield the price of the European exchange options and the Black-Scholes options. |
| Keywords: | equivalent martingale measure option pricing exchange option Black-Scholes formula |
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