关于路径依赖型期权定价模型的研究  

Study on the pricing model of path-dependent options

作　　者：郑小迎[1] 陈金贤[1] 

机构地区：[1]西安交通大学管理学院,陕西西安710049

出　　处：《西北师范大学学报（自然科学版）》2000年第2期15-21,共7页Journal of Northwest Normal University(Natural Science)

基　　金：国家自然科学基金资助项目!(796 70 0 76 )

摘　　要：剖析了路径依赖型期权的主要特征和价值形成机理 ,归纳出路径依赖型期权的主要类型 .在Black Scholes模型的基础上 ,讨论了各类期权的定价模型 。The origin mechanisms of price and characteristics of path dependent options are analysed,and the classes of path dependent options are catalogued.Based upon the study of Black Scholes pricing model,the pricing models are discussed which corresponds to their characteristics.Further more,the multi factors pricing model are derived including path dependent factor.

关 键 词：路径依赖型期权 BLACK-SCHOLES模型 定价模型 

分 类 号：F830.9[经济管理—金融学]