摘要
在奇异期权定价中经常遇到具有漂移的布朗运动的最大值问题,通过布朗运动的反射原理和G ir-sanov定理给出了在有限[0,T]区间上的具有漂移的布朗运动的最大值分布及其与终值的联合分布.然后把其应用到阶梯期权,得到了阶梯期权封闭形式的解.
The maximum of Brownian motion with drift is often encountered in the pricing of exotic option, we give its distribution and the joint distribution of it with the terminal value of its underlying Brownian motion by the reflection principle and Girsanov theorem. And then we apply the results to ladder option, obtaining its close - formed solution.
出处
《辽宁大学学报（自然科学版）》
CAS
2005年第4期321-324,共4页
Journal of Liaoning University：Natural Sciences Edition
