| O-U过程模型下一种改进的亚式再装期权定价 |
| |
| 引用本文： | 刘邵容,王恒太.O-U过程模型下一种改进的亚式再装期权定价[J].经济数学,2014(2):34-37. |
| |
| 作者姓名： | 刘邵容 王恒太 |
| |
| 作者单位： | 南华大学数理学院; |
| |
| 基金项目： | 湖南省自然科学基金(13JJ4075);湖南省教育厅科学研究项目(12C0361) |
| |
| 摘 要： | 考虑到再装期权对企业经理人的激励作用,结合将有效期内标的资产的几何平均值作为期权结算价格的思想,创建了一种改进的亚式再装股票期权模型,利用等价鞅方法,推导了该期权模型在OU过程下的定价公式.
|
| 关 键 词： | 再装期权 亚式期权 O-U过程模型 布朗运动 |
Pricing of the Improved Asian Reload Option under the Ornstein-Uhlenback Process |
| |
| LIU Shao-rong,WANG Heng-tai.Pricing of the Improved Asian Reload Option under the Ornstein-Uhlenback Process[J].Mathematics in Economics,2014(2):34-37. |
| |
| Authors: | LIU Shao-rong WANG Heng-tai |
| |
| Institution: | (School of Mathematics and Physics, University of South China, Hengyang , Hunan 421001 , China) |
| |
| Abstract: | The reload option has the drive function to the enterprise manager.Through using the geometry average of the underlying assets price instead of the option’s settlement price,a new Asian reload option has been designed.In view of the martingale method,under the hypothesis that the asset price obeys the Ornstein-Uhlenback process,the pricing formula of the new option has been gotten. |
| |
| Keywords: | reload option Asian option the Ornstein-Uhlenback process Brown motion |
| 本文献已被 CNKI 维普 等数据库收录！ |
