摘要
将回望期权与重置期权结合,设计了一种特殊的路径依赖型欧式期权——回望型重置期权.在标的资产的价格服从O-U过程的假设下,利用Girsanov定理,进行概率测试变换,得到了回望型重置看涨期权的显式定价公式.
Through combining the looking-back option with the reset option, a special type of path dependece European option-looking back-reset option is designed. Under the hypothesis that the price of underlying assets is satisfied to the Ornstein-Uhlenback process, using the Girsanov＇s theorem, through transforming the probability measure, the explicit pricing formula of the new looking back-reset call option is obtained.
出处
《晓庄学院自然科学学报》
CAS
北大核心
2007年第4期23-26,共4页
Journal of Natural Science of Hunan Normal University
基金
国家自然科学基金项目(10571051)
教育部高校博士点专项科研基金项目(20040542006)
