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随机利率下服从分数跳-扩散模型的重置期权定价 被引量：7

Pricing of Reset Option Under Fractional Jump-Diffusions and Stochastic Rate
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摘要 假设利率服从扩展的Vasicek模型,标的资产价格服从分数跳-扩散过程,利用无套利理论与多元正态分布,导出了规定时间的重置期权的定价公式. Under the assumptions that the exchange rate and the price of underlying asset obey an expanding Vesick model and a fractional jump-diffusions process respectively, this paper obtained the pricing formulas of European call option and the reset option with predetermined dates by means of the no-arbitrage theory and multivariable normal distribution.
作者 秦进 邓小华
机构地区 合肥师范学院数学系 棠湖中学外语实验学校
出处 《数学的实践与认识》 CSCD 北大核心 2012年第19期1-9,共9页 Mathematics in Practice and Theory
关键词 重置期权 随机利率 分数布朗运动 跳-扩散过程 Reset option stochastic rate fractional Brownian motion jump-diffusions
分类号 F820 [经济管理—财政学] F224 [经济管理—国民经济]
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参考文献11

  • 1Cheng W, Zhang S. The analytics of reset options [J]. The Journal of Derivatives, 2000, Fall: 59-71.
  • 2Gray S, Whaley R. Reset put options: valuation, risk characteristics and an application [J]. Aus- tralian Journal of Management, 1999, 24:1-20.
  • 3Nelken I. Reassessing the reset [J]. Risk, 1998, 10:36-39.
  • 4王莉君,张曙光.随机利率下重置期权的定价问题[J].高校应用数学学报（A辑）,2002,17(4):471-478. 被引量：26
  • 5李淑锦,李胜宏.随机利率下奇异期权的定价公式[J].数学学报（中文版）,2008,51(2):299-310. 被引量：18
  • 6李松芹,张寄洲.跳扩散模型下重置期权的定价[J].高等学校计算数学学报,2005,27(S1):182-187. 被引量：17
  • 7Lo A W, Mackinlary A C. Stock market prices do not follow random walks: evidence from a simple specification test [J]. Review of Financial Studies, 1988, 1:41-66.
  • 8Ciprian Necula. Option pricing in a fractional Brownian motion environment[R]. Working Paper of the Academy of Economic Studies, 2002:8079-8089.
  • 9Hu Y, Osendal B. Fractional white noise calculus and applications to finance [J]. Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2003, 6:1-32.
  • 10Beckera S. A note on estimating the parameters of the diffusion-jump model of stock returns [J]. Journal of Financial and Quantitative Analysis, 1981, 16(1): 127-140.

二级参考文献22

  • 1Li Shujin,Li Shenghong.FOREIGN CURRENCY OPTION PRICING WITH PROPORTIONAL TRANSACTION COSTS[J].Applied Mathematics(A Journal of Chinese Universities),2006,21(4):383-396. 被引量：1
  • 2[1]Zhang Guangping.Exotic Options[M].Singapore:World Scientific Publishing,1997.
  • 3[2]Chance D,Kumar R,Todd R B.The "repricing" of executive stock options,working paper[Z].Virginia Polytechnic Institute and State University,1999.
  • 4[3]Brenner M,Sundaram R K,Yermack D.Altering the terms of executive stock options[J].Journal of Financial Economics,2000,57:103-128.
  • 5[4]Heynen R C,Kat H M.Lookback options with discrete and partial monitoring of the underlying price[J].Applied Mathematical Finance,1995,2:273-283.
  • 6[5]Jiang Lishang,Dai Min.On Path-dependent Options[A].In:Yong Jiongmin and Rama Cont,eds,Mathematical Finance-Theory and Practice[C].Shanghai,1999,290-316.
  • 7[6]Cheng Waiyan,Zhang Shuguang.The analytic of reset options[J].Journal of Derivatives,2000,8:59-71.
  • 8[7]Gray S,Whaley R,Valuing S P.500 bear market warrants with a periodic reset[J].Journal of Derivatives,1997,4:99-106.
  • 9[8]Gray S,Whaley R.Reset put options:valuation,risk characteristics,and an application[J].Australian Journal of Management,1999,24:1-20.
  • 10[9]Nelken I.Reassessing the reset[J].Risk,October 1998,36-39.

共引文献74

同被引文献44

引证文献7

二级引证文献23

数学的实践与认识
2012年 第19期

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