具有多时点重置的欧式重置权证定价  

Pricing European Reset Warrants with n-Predetermined Reset dates

作　　者：黄艳华[1] 邓国和[1] 

机构地区：[1]广西师范大学数学科学学院,广西桂林541004

出　　处：《经济数学》2011年第3期82-86,共5页Journal of Quantitative Economics

基　　金：国家自然科学基金资助项目(40675023);广西自然科学基金(桂科自0991091);广西教育厅科研资助项目(200807LX018)

摘　　要：考虑了一类具有多个时间点重置执行价格的欧式熊市(或牛市)重置权证定价.应用鞅定价方法和多维正态分布函数,得到了该类权证价格的显示解和Δ对冲策略,推广了Gray和Whaley的单时点重置权证定价模型.The price of an European Bear（or Ox） Market reset warrants with strike price reset on n pre-specified dates was considered. Using the martingale pricing theory and multi-dimensional normal distribution function, both the closed-form solutions and the delta hedging strategies of these warrants were obtained, which extended the Gray and Whaley＇s work withsingle reset date.

关 键 词：重置期权 欧式熊市权证 欧式牛市权证 MONTE CARLO模拟 

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