摘要
在利率确定情形下,利用公平保费原则和价格过程的实际概率——保险精算方法,给出复合期权定价公式,得到一种复合期权(看涨期权的看涨期权)的表达式。
It is assumed that the interest is given, and then by making use of physical probability measure of the price process and the principle of fair premium, namely, an actuarial approach, a pricing formula of European compound option is put forward, and the pricing formula of the call option on a call option is obtained.
出处
《合肥工业大学学报（自然科学版）》
CAS
CSCD
北大核心
2008年第8期1343-1346,共4页
Journal of Hefei University of Technology：Natural Science
关键词
期权定价
公平保费
概率测度
保险精算
option pricing
fair premium
probability measure
actuarial approach
