| 支付离散红利的交换期权定价 |
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| 引用本文： | 全志勇,王瑜. 支付离散红利的交换期权定价[J]. 经济数学, 2010, 27(1): 26-29 |
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| 作者姓名： | 全志勇 王瑜 |
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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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| 基金项目： | 湖南省科技厅计划项目 |
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| 摘 要： | 在标的资产支付离散红利的情形下，对交换期权定价问题进行了讨论，并采用Dai和Lyuu（2008）的股票支付离散红利的期权定价方法，给出了支付离散红利的交换期权的闭式解。
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| 关 键 词： | 交换期权 离散红利 期权定价 |
Pricing European Exchange Option Based on Discrete Dividends |
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| QUAN Zhi-yong,WANG Yu. Pricing European Exchange Option Based on Discrete Dividends[J]. Mathematics in Economics, 2010, 27(1): 26-29 |
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| Authors: | QUAN Zhi-yong WANG Yu |
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| Affiliation: | (Collegeof Mathematics and Econometrics, Hunan University, Changsha, Hunan 410082,China) |
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| Abstract: | The European exchange options pricing formula with discrete dividends was discussed, and a exchange options pricing formula with discrete dividends by the method of Dai and Lyuu's(2008) options pricing formula with discrete dividends was obtained. |
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| Keywords: | exchange options discrete dividends options pricing |
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