| 双障碍幂型期权定价公式 |
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| 引用本文： | 孙江洁,杜雪樵.双障碍幂型期权定价公式[J].大学数学,2011,27(3):115-119. |
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| 作者姓名： | 孙江洁 杜雪樵 |
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| 作者单位： | 合肥工业大学,数学学院,合肥,230009 |
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| 摘 要： | 为了进一步完善障碍期权理论,更好地适应金融市场的需求,本文在完全市场条件下,利用连续时间的双障碍幂型期权买权过程的鞅性和等价鞅测度变换的方法,得到了双障碍幂型期权定价模型的显式解.
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| 关 键 词： | 双障碍期权 幂型期权 鞅 停时 买权 |
The Pricing of Double-barrier Power |
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| SUN Jiang-jie,DU Xue-qiao.The Pricing of Double-barrier Power[J].College Mathematics,2011,27(3):115-119. |
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| Authors: | SUN Jiang-jie DU Xue-qiao |
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| Institution: | SUN Jiang-jie,DU Xue-qiao(School of Mathematics,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | It is proved the pricing formulas of double-barrier power options.By double-barrier buy power options is a martingale and means of martingale method in the complete market.It is further to improve the theory of barrier options to adapt the need of financial market. |
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| Keywords: | double-barrier options power option martingale stopping-time Buy-option |
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