“亚式——阶梯”期权定价模型  

"Asian——Step" Option Pricing Model

作　　者：张艳辉[1] 

机构地区：[1]河北工业大学理学院,天津300401

出　　处：《数学理论与应用》2010年第1期51-56,共6页Mathematical Theory and Applications

摘　　要：本文结合亚式期权和阶梯期权的特点,构造出一种用于经理期权激励机制的新型期权——"亚式——阶梯"期权,建立相应的期权定价模型,运用偏微分方程方法,构造该期权价格所满足的具有恰当边值条件和终值条件的偏微分方程,并得出其精确解。Combining with the characteristics of Asian option and Step option, this paper constructs a new option, A- sian - Step option, which can apply to the manager＇ s incentive mechanism. The option pricing model of Asian - Step option is established. Using partial differential equation method, it constructs the partial differential equation which meets the appropriate boundary conditions and the terminal value condition of the option prices, and obtains its exact solution.

关 键 词：亚式期权 阶梯期权 偏微分方程 经理激励 

分 类 号：O242.1[理学—计算数学] O175.2[理学—数学]