摘要
通过引入一个价格障碍,对再装期权持有者在再装日的收益结构进行改进,并用更能反映实际形势的股价的几何平均值代替标准再装期权的固定敲定价格,创设了一种新型再装期权,利用鞅论和随机分析知识,给出了新型期权在O-U过程模型下的定价公式.
The revenue structure of the reload option holders has been improved through the introduction of a price barrier, a new reload option has been designed by using the geo- metric mean which can better reflect the actual situation instead of the strike price of the standard reload option, under the hypothesis that the asset price obey the Ornstein-Uhlenback process, the pricing formulas of the new option have been got by using methods of martingale and stochastic analysis.
出处
《南华大学学报（自然科学版）》
2012年第2期66-69,共4页
Journal of University of South China：Science and Technology
关键词
再装期权
O-U过程模型
布朗运动
定价
reload option
the Ornstein-Uhlenback process
Brown motion
pricing
