| 基于分数O U过程的几何亚式-再装股票期权定价模型 |
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| 引用本文： | 傅强,石泽龙.基于分数O U过程的几何亚式-再装股票期权定价模型[J].经济数学,2010,27(2):74-80. |
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| 作者姓名： | 傅强 石泽龙 |
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| 作者单位： | 1. 重庆大学,经济与工商管理学院,重庆,400044
2. 重庆大学,数理学院,重庆,400044 |
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| 摘 要： | 通过将几何亚式期权应用到再装期权中,解决了传统再装期权在再装日按B-S模型执行时所产生的经理激励问题,建立了几何亚式-再装股票期权的定价模型,并在股价服从分数O-U过程下得到了相应的定价公式.通过模拟分析发现,与传统再装期权相比,几何亚式-再装期权的价值要低一些,这说明几何亚式-再装股票期权能更好地降低代理成本.
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| 关 键 词： | 分数O-U过程 再装期权 几何亚式-再装股票期权 |
Model of Geometric Asian reload Stock Option Pricing Driven by Fractional O U Process |
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| FU Qiang and SHI Ze long.Model of Geometric Asian reload Stock Option Pricing Driven by Fractional O U Process[J].Mathematics in Economics,2010,27(2):74-80. |
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| Authors: | FU Qiang and SHI Ze long |
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| Institution: | 1.College of Economics and Business Administration,Chongqing University,Chongqing 400044,China2.College of Mathematics and Physics Chongqing University,Chongqing 400044,China) |
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| Abstract: | By applied the geometric Asian option to the Reload stock option.this paper tried to solve the Manager Incentives problem produced on the reloading time of the reload option,The pricing model of the geometric Asian-reload option was established,and the corresponding pricing formula was obtained under the underlying asset obey to fractional O-U process.By an example analysis,we find that,campared with the traditional reload stock option,the value of geometric asian-reload stock option is smaller.This means that the geometric asian-reload stock option is able to reduce the agency costs. |
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| Keywords: | fractional O-U process reload option geometric Asian-reload stock option |
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