| 一种亚式风格可重置执行价格期权设计 |
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| 引用本文： | 陈 鹏,李 笋.一种亚式风格可重置执行价格期权设计[J].经济数学,2014(3):30-34. |
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| 作者姓名： | 陈 鹏 李 笋 |
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| 作者单位： | 湖南大学 数学与计量经济学院,湖南长沙410082 |
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| 摘 要： | 本文设计了一种亚式风格的可重置执行价格期权;严格证明了可重置执行边界的存在性,以及连续区域与重置区域的单连通性;利用Hartman-Watson分布,写出了可重置期权的定价公式,并利用此公式给出了可重置执行边界的一种新的数值算法.
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| 关 键 词： | 市场流动性 亚式可重置期权 重置执行边界 重置执行红利 新型递归积分法 |
One Resettable Striking Price Options Design of Asian Style |
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| CHEN Peng,LI Sun.One Resettable Striking Price Options Design of Asian Style[J].Mathematics in Economics,2014(3):30-34. |
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| Authors: | CHEN Peng LI Sun |
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| Institution: | (College of Mathematic and Econometrics Hunan University , Changsha, Hunan 410082,China) |
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| Abstract: | This paper designed one kind of resettable strike price options with Asian style,and proved strictly the exist-ence of resetting boundary and the simple connectedness of continuation region and resetting region.Making use of Hartman-Watson distribution,the pricing formula of resettable strike price options was written out,and a new numerical algorithm for resetting boundary utilizing this formula was given. |
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| Keywords: | market liquidity Asian resettable options resetting boundary resetting premium new recursive integral method |
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