摘要
在市场无套利、无摩擦和无风险利率为常数假定下,分别讨论了无红利配发和有红利配发情形时,一种新型期权—双重看涨期权的定价问题,主要利用套期保值策略对期权定价进行了若干估计,给出了上下界.
Under assumption that the financial market is arbitrage-free frictionless and the riskless rate is a constant, this article studies the pricing of an exotic option-Double Call Option with dividend or not. By mainly means of hedging strategy, the option pricing is valuated and the upper limits and the lower limits are derived.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第4期40-45,共6页
Mathematics in Practice and Theory
基金
四川省学术与技术带头人培养基金资助([2001]16)
