期刊文献+

随机波动率情形下期权定价的解析解 被引量:2

在线阅读 下载PDF
导出
摘要 本文研究了标的资产价格的波动率为随机过程的模型,利用期权定价的鞅方法,得出了欧式期权价格的解析解,推广了B-S模型。
作者 陈俊霞 蹇明
出处 《统计与决策》 CSSCI 北大核心 2007年第8期21-22,共2页 Statistics & Decision
  • 相关文献

参考文献1

二级参考文献8

  • 1A G Z. Kemna and A C F Vorst. A pricing method for options based on average asset values,Journal of Banking and Finance, 1990, 14: 113-129.
  • 2S M Turnbull and L M Wakeman. A quick algorithm for pricing European average options,Journal of Financial and Quantitative Analysis, 1991, 26: 377-389.
  • 3L C G Rogers and Z Shi. The value of an Asian option, Journal of Applied Probability, 1995,32: 1077-1088.
  • 4S Simon, M J Goovaerts, and J Dhaene. An easy computable upper bound for the price of an arithmetic Asian option, Insurance: Mathematics and Economics, 2000, 26: 175-183.
  • 5H Geman and M Yor. Bessel processes, Asian options and perpetuities, Mathematical Finance,1993, 4: 345-371.
  • 6H Geman and M Yor. The valuation of double-barrier: A probabilitic approach, Working paper,1995.
  • 7M Yor. On some exponential functionals of Brownian Motion, Adv Appl Prob, 1992, 24: 509-531.
  • 8J A Yan. Introduction to martingal methods in option pricing, LN in Math 4, Liu Bie Ju Centre for Mathematical Sciences, City University of Hong Kong(1998).

共引文献8

同被引文献12

引证文献2

二级引证文献9

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部