交换期权的平价关系(英文)  

The Parity Relationship of The Exchange Option

作　　者：刘雪花[1] 胡华[1] 

机构地区：[1]宁夏大学数学计算机学院,宁夏银川750021

出　　处：《甘肃联合大学学报（自然科学版）》2013年第1期24-27,共4页Journal of Gansu Lianhe University :Natural Sciences

基　　金：Project supported by the National Natural Science Foundation of China(11261042)

摘　　要：本文通过对交换期权的分析,运用一系列假设,得出了交换期权的平价关系这一命题,然后对其进行证明讨论.In this paper, exchange options was analysed, using a series of hypothesis, parity relationship of the ex- change option was proposed,and a discussion and proof on exchange option were given.

关 键 词：交换期权 布朗运动 泊松过程 跳跃幅度 风险中性测度 

分 类 号：O211.9[理学—概率论与数理统计]