摘要
期权及其定价理论是目前金融管理,金融工程研究的前沿与热点问题。在标的资产的价格服从指数O-U过程模型假设下,运用Girsanov定理获得了该过程的唯一等价鞅测度。借助期权定价的鞅方法,得出了再装期权定价模型的定价公式。同时,将此模型用于经理股票期权激励中并进行了分析。
Options and the pricing theory of options are the frontiers fields in today＇s financial manageraent and financial engineering research. Under the hypothesis of underlying asset price submitting to Omstein-Uhlenbeck process the unique equivalert martingale measure of this model is found by using the Girsanov theorem. The paper works out the pricing formula of reload options and takes it as an incentive for the excutive stock options.
出处
《商业研究》
北大核心
2006年第11期147-150,共4页
Commercial Research
基金
上海证券交易所第12期联合研制项目基金的资助
