摘要
本文主要研究了参数依赖于时间的复合期权。通过Girsanov定理和鞅表示方法,得到欧式未定权益的复合期权定价公式及其套期保值策略。
The main purpose of this paper is to study the models of compound options with timedependent parameters. By means of Girsanov theorem and martingale method, we obtain compound option pricing formula and hedging strategy of European contingent claim.
出处
《工程数学学报》
CSCD
北大核心
2005年第4期692-696,共5页
Chinese Journal of Engineering Mathematics
关键词
复合期权
GIRSANOV定理
随机微分方程
鞅方法
compound options
Girsanov theorem
stochastic differential equation
martingale method
