首页 | 本学科首页   官方微博 | 高级检索  
     检索      

“亚式——阶梯”期权定价模型
引用本文:张艳辉.“亚式——阶梯”期权定价模型[J].数学理论与应用,2010(1):51-56.
作者姓名:张艳辉
作者单位:河北工业大学理学院;
摘    要:本文结合亚式期权和阶梯期权的特点,构造出一种用于经理期权激励机制的新型期权——"亚式——阶梯"期权,建立相应的期权定价模型,运用偏微分方程方法,构造该期权价格所满足的具有恰当边值条件和终值条件的偏微分方程,并得出其精确解。

关 键 词:亚式期权  阶梯期权  偏微分方程  经理激励

"Asian--Step" Option Pricing Model
Zhang Yanhui."Asian--Step" Option Pricing Model[J].Mathematical Theory and Applications,2010(1):51-56.
Authors:Zhang Yanhui
Institution:School of Science/a>;Hebei University of technology/a>;Tianjin/a>;300401
Abstract:Combining with the characteristics of Asian option and Step option, this paper constructs a new option, A- sian - Step option, which can apply to the manager' s incentive mechanism. The option pricing model of Asian - Step option is established. Using partial differential equation method, it constructs the partial differential equation which meets the appropriate boundary conditions and the terminal value condition of the option prices, and obtains its exact solution.
Keywords:Asian option Step option Partial differential equation Executive incentive  
本文献已被 CNKI 维普 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号