复合期权的保险精算定价  

An actuarial approach to compound option pricing

作　　者：毕学慧[1] 杜雪樵[2] 

机构地区：[1]阜阳师范学院计算机与信息学院,安徽阜阳236041 [2]合肥工业大学数学系,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2008年第8期1343-1346,共4页Journal of Hefei University of Technology：Natural Science

摘　　要：在利率确定情形下,利用公平保费原则和价格过程的实际概率——保险精算方法,给出复合期权定价公式,得到一种复合期权(看涨期权的看涨期权)的表达式。It is assumed that the interest is given, and then by making use of physical probability measure of the price process and the principle of fair premium, namely, an actuarial approach, a pricing formula of European compound option is put forward, and the pricing formula of the call option on a call option is obtained.

关 键 词：期权定价 公平保费 概率测度 保险精算 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]