带有分期支付收益的回望期权定价  

Lookback Option Pricing with Dividend be paid in Installments

作　　者：唐正 桑利恒 Tang Zheng;Sang Liheng

机构地区：[1]滁州学院数学与金融学院,安徽滁州239000

出　　处：《滁州学院学报》2021年第5期46-49,85,共5页Journal of Chuzhou University

基　　金：安徽省高校优秀青年人才支持计划项目“球面高斯随机场的样本轨道性质及其在金融市场中的应用”(GXYQ2020058)。

摘　　要：利用测度变换方法研究了一种强路径依赖型回望期权的定价问题,同时考虑了该期权的标的资产有红利支付且具有分期支付的情况。首先建立几何布朗运动下的价格模型,其次应用随机分析知识建立等价测度,得出风险中性定价公式,最后利用风险中性定价公式得出回望期权定价公式的显式解。The article studies the lookback option pricing using measure transformation method,taking into account dividend payments and installment payments of the underlying assets of the option.Firstly,we establish the pricing model under geometric Brownian motion,secondly,we establish the equivalence measure by the application of stochastic analysis knowledge,derived risk-neutral pricing formula,and finally the explicit solutions of the lookback option pricing is derived by the risk-neutral pricing formula display.

关 键 词：测度变换 风险中性 回望期权 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]