| 幂型支付的欧式期权定价公式 |
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| 引用本文： | 陈万义.幂型支付的欧式期权定价公式[J].数学的实践与认识,2005,35(6):52-55. |
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| 作者姓名： | 陈万义 |
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| 作者单位： | 南开大学信息技术学院自动化系,天津,300071 |
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| 摘 要： | 在等价鞅测度框架下,讨论了(在到期时刻)期权处于实值状态时支付函数为幂型的股票欧式期权定价公式.这里我们假设无风险利率,股票预期收益率和股价波动率都是时间的确定性函数.本文结果不但包含了原始的Black-Scholes公式,而且可用于上封顶与下保底(幂型)欧式看涨期权的定价.
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| 关 键 词： | 期权 股价 对数正态分布 幂型支付 Black-Scholes公式 |
| 修稿时间： | 2004年5月8日 |
The Pricing Formulas of European Options with Power Payoffs |
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| CHEN Wan-Yi.The Pricing Formulas of European Options with Power Payoffs[J].Mathematics in Practice and Theory,2005,35(6):52-55. |
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| Authors: | CHEN Wan-Yi |
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| Abstract: | Via the framework of equivalent martingale measures, we derive the pricing formulas of European options with power payoffs (if the option is in the money, at the time of maturity). Here, we assume that the riskfree rate of interest, the expected rate of return and the volatility for the stock price, are deterministic functions of the time. Our results generalize the original BlackScholes formulas for the European options of stocks, and they can be used to the pricing of some exotic European options with power payoffs. |
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| Keywords: | option stock price lognormal distribution power payoffs Black-Scholes formulas |
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