具有多时点重置的欧式重置权证定价
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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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