| 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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| 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 |
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| Pricing European Reset Warrants with n -Predetermined Reset dates |
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| 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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