摘要
文章分别就有效期内支付红利和不支付红利2种情况,用保险精算方法和鞅方法研究了各参数相依于时间的交换期权的定价问题,给出了参数为常数下的B-S模型的期权公式,比较了这2种定价之间的关系,并说明了保险精算定价是有套利的。
Under the conditions of the stock with or without dividends within the effective period, the problem of exchange option pricing with time-dependent parameters are discussed by using the approach of insurance actuarial pricing and the martingale method respectively. The Black-Scholes option pricing formulas with constant parameters are given as a special example. The relation between the two pricing methods is analyzed. It is thought that insurance actuarial pricing leads to arbitrage under general conditions.
出处
《合肥工业大学学报（自然科学版）》
CAS
CSCD
北大核心
2007年第8期1069-1072,共4页
Journal of Hefei University of Technology：Natural Science
基金
江苏省高校自然科学研究指导性计划资助项目(06kjd110051)
安徽省教育厅自然科学基金资助项目(2006kj053C)
安徽财经大学青年科研基金资助项目(ACKYQ0640ZC)
南通大学课题资助项目(05z015)
