| 随机利率下的回望期权的定价 |
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| 引用本文： | 张艳秋,杜雪樵.随机利率下的回望期权的定价[J].合肥工业大学学报(自然科学版),2007,30(4):515-517. |
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| 作者姓名： | 张艳秋 杜雪樵 |
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| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009 |
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| 摘 要： | 回望期权是与路径有关的期权,文章讨论了利率是随机情况下的回望期权定价公式,文中多次运用了Gisanov定理构造等价鞅测度和伊藤公式,并在此基础上运用反射原理使回望期权的定价问题得到简化。
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| 关 键 词： | 回望期权 等价鞅测度 Gisanov定理 |
| 文章编号： | 1003-5060(2007)04-0515-03 |
| 修稿时间： | 2006年4月12日 |
Pricing of lookback options under stochastic interest rates |
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| ZHANG Yan-qiu,DU Xue-qiao.Pricing of lookback options under stochastic interest rates[J].Journal of Hefei University of Technology(Natural Science),2007,30(4):515-517. |
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| Authors: | ZHANG Yan-qiu DU Xue-qiao |
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| Abstract: | Lookback options are path-dependent options the payoffs of which depend on the maximum or the minimum of the underlying asset price attained over the lookback period.This paper presents the formula of pricing lookback options under stochastic interest rates using the reflection principle.The Gisanov theorem is applied to constructing the equivalent martingale measure and the Ito formula,and using of the reflection principle helps simplifying the pricing formula. |
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| Keywords: | lookback option equivalent martingale measure Gisanov theorem |
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