| 债券受布朗运动驱动时幂型支付重置期权的定价 |
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| 引用本文： | 欧辉,莫晓云,贺磊.债券受布朗运动驱动时幂型支付重置期权的定价[J].经济数学,2009(4). |
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| 作者姓名： | 欧辉 莫晓云 贺磊 |
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| 作者单位： | 湖南师范大学数学与计算机科学学院 湖南财经高等专科学校 |
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| 基金项目： | 国家自然科学基金资助项目(10871064);; “湖南省普通高校重点实验室-计算与随机数学及其应用”资助,湖南师范大学 |
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| 摘 要： | 考虑完全的无套利市场环境下,基础股票支付连续红利,债券价格满足由布朗运动驱动的随机微分方程,对具有幂型支付的一种创新重置期权,以鞅论和随机分析为工具,得到了期权的定价公式.
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| 关 键 词： | 创新重置期权 支付红利 幂型支付 等价鞅测度 |
THE PRICING OF THE INNOVATIVE RESET OPTIONS WITH POWER PAYOFF WHEN BONE PRICE FOLLOWS A STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY BROWN MOVEMENT |
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| OU Hui,; MO Xiao-yun,; HE Lei.THE PRICING OF THE INNOVATIVE RESET OPTIONS WITH POWER PAYOFF WHEN BONE PRICE FOLLOWS A STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY BROWN MOVEMENT[J].Mathematics in Economics,2009(4). |
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| Authors: | OU Hui ; MO Xiao-yun ; HE Lei |
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| Institution: | 1(1.College of Mathematica and Computer Science; Hunan Normal University; Changsha; Hunan 410081; China; 2.Hunan College of Finance and Economics; Hunan 410205; China); |
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| Abstract: | In the complete and no-arbitrage markets,the pricing formula of the innovative reset options on dividend-paying stock with power payoff at the time of maturity was obtained by using methods of martingale and stochastic analysis when bound price B(t)follows a stochastic differential equation driven by Brown movement. |
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| Keywords: | the innovative reset options dividend-paying power payoff equivalent martingale measure |
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