具有多时点重置的欧式重置权证定价

黄艳华; 邓国和

具有多时点重置的欧式重置权证定价

引用本文：黄艳华,邓国和.具有多时点重置的欧式重置权证定价[J].经济数学,2011,(3):82-86

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作者	单位
黄艳华,邓国和	(广西师范大学数学科学学院, 广西桂林 541004)

中文摘要:考虑了一类具有多个时间点重置执行价格的欧式熊市（或牛市）重置权证定价.应用鞅定价方法和多维正态分布函数，得到了该类权证价格的显示解和Δ对冲策略，推广了Gray和Whaley的单时点重置权证定价模型.

中文关键词:重置期权欧式熊市权证欧式牛市权证 Monte Carlo模拟

Pricing European Reset Warrants with n -Predetermined Reset dates

Abstract:The price of an European Bear(or Ox) Market reset warrants with strike price reset on n pre -specified dates was considered. Using the martingale pricing theory and multi -dimensional normal distribution function, both the closed -form solutions and the delta hedging strategies of these warrants were obtained, which extended the Gray and Whaley’s work with single reset date.

keywords:reset option European bear market warrants European ox market warrants Monte Carlo simulation

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