广义重设型牛市买权(熊市卖权)的定价研究

Pricing of Generalized Reset Options

对奇异期权的定价,传统的方法是用Black-Scholes(1973)所建立的偏微分方程方法求解,或用二叉数模型近似地模拟计算。这些工作繁琐且难度较大,给奇异期权在实务中的应用带来了诸多不便。本文借助随机分析中的Girsanov定理,运用Harrison和Kreps(1979)所提出的鞅定价方法求出一类推广的重设型牛市买权和熊市卖权的定价公式,并用模拟的方法对不同权证的避险功能进行了比较。

Partial differential equation or Binominal pricing model is used to value Exotic options in conventional method,but the solution to the equation is difficult and tedious.The paper used the Girsanov theory of stochastic analysis and the martingale pricing method,which was put forward by Harrison and Kreps in 1979,to induce the pricing equations for generalized reset bull call options and generalized reset bear put options.At last,the closedform solutions of generalized reset options were obtained.