几何平均下的水平重置期权定价  

Pricing Geometric Average Trigger Reset Option with Predetermined Levels

作　　者：奚欢[1] 苏玉华[2,3] 江伟[2,3] 

机构地区：[1]上海财经大学浙江学院统计系,浙江金华321000 [2]广西贺州学院理学院,广西贺州542899 [3]广西贺州学院符号计算与工程数据处理重点实验室,广西贺州542899

出　　处：《数学的实践与认识》2016年第18期37-44,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(11461021);浙江省教育厅科研项目(Y201534298);贺州学院硕士点建设数学支撑学科自主课题资助(2016HZXYSX10)

摘　　要：针对重置期权的风险对冲△跳现象,研究了一种亚式特征的水平重置期权的定价问题.首先在BS模型下用股票的几何平均价格作为水平重置期权执行价格重置与否的统计量,然后运用测度变换和鞅定价方法得到了风险中性定价公式,最后利用风险中性定价公式得出风险对冲△值的显示解,改进了水平重置期权的部分已有结果.As the delta values of the risk hedge from reset options have the jump phenomenon,pricing on the reset options with geometric average trigger feature have been researched.Firstly geometric average price of stocks has been set to be the trigger of reset options with predetermined levels under the BS model and then got the risk neutral pricing formulas by using measure transformation and martingale method.Finally the closed-form solutions of delta values of the risk hedge have been received from the risk neutral pricing formula,which has improved a part of existing results of reset options with predetermined levels.

关 键 词：亚式期权 几何平均 重置期权 路径期权 风险对冲 测度变换 

分 类 号：F224[经济管理—国民经济] F830.9