具有随机执行时刻的广义复合期权定价  

Pricing of Generalized Compound Options with Random Execution Time

作　　者：肖临 XIAO Lin(Department of Mathematical Statistics,School of Information and Statistics,Guangxi University of Finance and Economics,Nanning 530003,China)

机构地区：[1]广西财经学院信息与统计学院数理统计系

出　　处：《应用数学学报》2020年第1期79-87,共9页Acta Mathematicae Applicatae Sinica

基　　金：广西应用经济学一流学科(培育)开放性课题(2018ZD07);广西社科一般项目(18BTJ001);湖南省社科基金一般项目(16YBA239);湖南省教育厅重点项目(16A118);广西教育厅青年提升项目(2018KY0524);广西财经学院“海陆经济一体化与海上丝绸之路建设研究协同中心”项目(2018YB14)资助

摘　　要：本文定义了具有随机执行时刻的广义复合期权,导出了不同情形下的广义复合期权定价公式.考虑有保底收入的复合期权投资,定义了带门限的广义复合期权,导出期权定价公式.讨论这两种期权性质及应用价值,对复合期权进一步作推广.In this paper,the generalized compound option with random execution time is defined.The pricing formula of generalized compound option is derived under different circumstances.Considering the compound option investment with guaranteed income,the generalized compound option with threshold is defined and the option pricing formula is derived.Discuss the properties and application value of these two options,and further generalize the compound option.

关 键 词：广义复合期权 期权定价 期权性质 带门限的广义复合期权 

分 类 号：O211.63[理学—概率论与数理统计]