多点重设型看跌期权的鞅定价  

Pricing of Multiple-point Reset Put Options

作　　者：何韵妍[1] 杨立洪[1] 何春雄[1] 

机构地区：[1]华南理工大学理学院,广州510640

出　　处：《科学技术与工程》2008年第14期3872-3878,共7页Science Technology and Engineering

基　　金：国家自然科学基金项目(70571024)资助

摘　　要：在Cheng、Zhang和Liao、Wang提出的多点重设期权模型基础上,构造出一个创新的重设型看跌期权模型,在这一模型中重设的行权价随着标的价格上下波动,具有往下变动的可能。然后根据鞅定价原理对重设型看跌期权进行了定价,推导出精确的封闭解。Basing on the reset option models with multiple strike resets provided by Cheng,Zhang and Liao, Wang, a new reset put options models is put forward. In this model, the reset strike price fluctuates as the stock price changes with the chance of reset price diminishing. Then, the pricing formula of multiple-point strike reset put options is obtained according to the martingale theory.

关 键 词：重设期权 鞅 布朗运动 

分 类 号：F830.91[经济管理—金融学]