摘要
结合回望期权卖出按高价与重置期权在特定重置条款下能重新设置期权敲定价的特点,对传统重置期权进行创新,设计了一种新型期权——回望重置看跌期权,在标的资产价格服从O-U过程模型下,利用期权定价的鞅方法,推导出了该种期权的显式定价公式。
Through combing the looking-back option which can sell the option at a higher price and the reset option which can reset the price at some special cases, an innovation of the conventional reset option is made, the new put option-looking back-reset option is designed in this paper. Under the hypothesis that the price of underlying assets is satisfied to the Ornstein-Uhlenback process, using the martingale method, the explicit pricing formula of this new put option is obtained.
出处
《邵阳学院学报（自然科学版）》
2008年第1期6-8,共3页
Journal of Shaoyang University：Natural Science Edition
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)
