摘要
本文给出了一种新型单点水平期权,通过鞅定价方法并借助极值的概率分布研究其定价问题,得到了该新型单点水平看涨期权与看跌期权的定价公式.
A new single-point-level option was introduced in this paper. By using the martingale method and the probability distribution of extremes, we studied the pricing problem of this new single-point-option, and got the pricing formulas for this new single-point-level call option and put option.
出处
《经济数学》
2008年第2期156-160,共5页
Journal of Quantitative Economics
关键词
单点水平期权
鞅
期权定价
Sigle-point-level option,martingale,option pricing
