| 一种新型单点水平期权的定价 |
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| 引用本文： | 张鸿雁,王真军.一种新型单点水平期权的定价[J].经济数学,2008,25(2). |
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| 作者姓名： | 张鸿雁 王真军 |
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| 作者单位： | 中南大学数学科学与计算技术学院,湖南长沙,410075 |
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| 摘 要： | 本文给出了一种新型单点水平期权,通过鞅定价方法并借助极值的概率分布研究其定价问题,得到了该新型单点水平看涨期权与看跌期权的定价公式.
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| 关 键 词： | 单点水平期权 鞅 期权定价 |
PRICING OF A NEW SINGLE-POINT-LEVEL OPTION |
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| Zhang Hongyan,Wang Zhenjun.PRICING OF A NEW SINGLE-POINT-LEVEL OPTION[J].Mathematics in Economics,2008,25(2). |
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| Authors: | Zhang Hongyan Wang Zhenjun |
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| Institution: | Zhang Hongyan,Wang Zhenjun (School of Mathematical Science , Computing Technology,Central South University,Hunan Changsha 410075) |
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| Abstract: | A new single-point-level option was introduced in this paper.By using the martingale method and the probability distribution of extremes,we studied the pricing problem of this new single-point-option,and got the pricing formulas for this new single-point-level call option and put option. |
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| Keywords: | Sigle-point-level option martingale option pricing |
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