摘要
讨论一类支付存贮费用的农产品期权定价问题,利用对冲原理和公式导出了该种情形下的B lack-Scholes方程,并结合成品订单合同的实际情况得到一个含边界和终端条件的挡板期权模型;利用极值原理分析了期权价格与各参量间的相关性,最后给出了数值解结果.
This paper investigates a kind of agricultural commodity option pricing model with storage cost. The kind of Black-Scholes equation is built by hedging principle and formula, combining with the final and boundary conditions a barrier option model is obtained according to a kind of sales contract. And uses the maximum principle to analyze the relations between option price and each parameter. And the numerical results are also given.
出处
《哈尔滨商业大学学报（自然科学版）》
CAS
2009年第4期504-507,512,共5页
Journal of Harbin University of Commerce：Natural Sciences Edition
基金
浙江省教育厅科研项目(20070590)
关键词
农产品
挡板期权
定价模型
agricultural commodity
barrier option
price model
