关于新型期权及其定价模型的研究  

Studies on Exotic Options and Its' Pricing Model

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,西安710049

出　　处：《管理工程学报》2000年第3期56-60,共5页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金! ( 79670 0 76)

摘　　要：本文剖析了新型期权的生成机理和主要特征 ,由此归纳出新型斯权的主要类型。在标准期权定价模型的基础上 ,深入讨论了各类新型期权的定价模型 ,并重点研究了路径依赖型期权的定价问题 ,创建了包含路径因子在内的定价模型 ,最后对多因素新型期权的定价进行了展望。This paper analyses the origins and characteristics of exotic options, and the classes of exotic options are catalogued. Based upon the study of Black Scholes model,the pricing models are derived which correspond to their characteristics. Furthermore,the path dependent options are discussed and its' pricing model are created including path dependent factor. The pricing models of multi factor options are prospected at the end of the paper.

关 键 词：期权 定价模型 金融创新 路径依赖型期权 

分 类 号：F830.9[经济管理—金融学]