期刊信息
- 刊名： 河北师范大学学报（自然科学版）Journal of Hebei Normal University (Natural Science)
- 主办： 河北师范大学
- ISSN： 1000-5854
- CN： 13-1061/N
- 中国科技核心期刊
- 中国期刊方阵入选期刊
- 中国高校优秀科技期刊
- 华北优秀期刊
- 河北省优秀科技期刊
Pricing of the Looking Back-reset Option with Barrier
摘要/Abstract
摘要：
标准的重置期权给予投资者在一个或者几个时间点将执行价格重置的权利,随着市场需要,越来越多的创新型重置期权被定义出来.定义了一种带障碍的回望重置期权,在风险中性测度下,利用等价鞅测度变换和Girsanov 定理得到了带常数股息的股票上的此种新型重置期权精确的定价公式,推广了已有的结果.
Abstract：
The standard reset option allows investors reset the executive stock price at one or several times.As the market needs,more and more new reset options have been defined.Now we define a looking back-reset option with barrier in this paper.By Girsanov theorem and the theory of equivalent martingale,we give the exact pricing formulas of this new option on the assets with constant dividend yield under the risk neutral measure,thus we extend the result before.
关键词
关键词：
回望重置期权
;
测度变换
;
Girsanov定理
Key words：
looking back-reset option
;
change of measure
;
Girsanov theorem
参考文献 10
- [1] BLACK F,SCHOLES M.The Pricing of Option and Corporate Liabilities[J].Journal of Political Economy,1973,81(3):637-659.
- [2] 李霞,金治明.障碍期权的定价问题[J].经济数学,2004(9):200-208.
- [3] GODMAN B,SOSIN H.Path-dependent Options:Buy at the Low,Sell at the High[J].Journal of Finance,1979,34:11-27.
- [4] 刘邵容,杨向群.O-U过程模型下一种回望型重置期权的定价[J].湖南师范大学学报(自然科学版),2007,30(12):23-26.
- [5] 李淑锦.随机利率下奇异期权的定价公式[J].数学学报,2008(3):299-310.
- [6] STEPHEN F G,ROBERT E W.Reset Put Options Valuation,Risk[J].Australian Journal of Management,1999(6):1-20.
- [7] 李松芹.重置期权定价问题的研究[D].上海:上海师范大学,2006.
- [8] MASSIMO C.On Pricing Arithmetic Average Reset Options with Multiple Reset Dates in a Lattice Framework[J].Journal of Computational and Applied Mathematics,2011(5):5307-5325.doi:10.1016/j.cam.2011.05.041
- [9] KLEBANER F C.Introduction To Stochastic Calculus With Applications[M].北京:人民邮电出版社,2008.
- [10] KWOK Y Q.Mathematical Models of Financial Derivatives[M].2nd ed.New York:Springer,2010.