摘要
极大期权是一类非标准化期权，与标准期权在某些条款上存在差异，比标准期权更复杂，因此不能用标准期权的定价公式对这类期权进行定价．故而，文章讨论了两资产极大期权的定价问题，并运用△-对冲原理、风险中性理论和有限差分法给出了极大期权价格的递推公式．
As a class of non-plain vanilla options, the maximal options are different from vanilla options on some items and even more complex. Therefore, the pricing formula of the plain vanilla options doesn＇t apply to these exotic options pricing. The models of pricing for the two- asset European maximal options are discussed in this paper. On the basis of arbitrage - free principle, by using the -hedging, risk neutral theory and the finite difference method, the pricing formula of the two-asset maximal options is presented in this paper.
出处
《徐州工程学院学报》
2006年第3期41-43,共3页
Journal of Xuzhou Istitute of Technology
基金
中国矿业大学科技专项基金（0ZK4566）资助
关键词
极大期权
定价
有限差分
递推公式
maximal options
pricing
the finite difference
recursion formula
