一类期权定价分析  

An Analysis of a Pricing Model for Option

作　　者：郑伟珊 ZHENG Wei-shan(Colloge of Mathematics and Statistic,Hanshan Normal University,Chaozhou,Guangdong,521041)

机构地区：[1]韩山师范学院数学与统计学院,广东潮州521041

出　　处：《韩山师范学院学报》2018年第3期13-18,共6页Journal of Hanshan Normal University

基　　金：国家自然科学基金(项目编号:11626074);韩山师范学院项目(项目编号:201404;Z16027;2017HJGJCJY009)

摘　　要：应用无套利原则和Ito?公式导出Passport期权定价模型,然后借助美式期权定价方法,将模型转化为一维抛物型变分不等式,紧接着引入惩罚函数,最终证明解的存在唯一性.The no-arbitrage principle and Ito Lemma are used to derive a pricing model for the Passport option.With the valuation of the American option,the valuation of the Passport option can be formulated as a one dimensional parabolic variational inequality.In virtue of a penalty function,the existence and uniqueness of the solution for the Passport option are obtained.

关 键 词：Passport期权 无套利原理 变分不等式 解的存在唯一性 

分 类 号：O242.2[理学—计算数学]