奇异期权的分解与定价

Decomposition and Pricing of Exotic Option

影响奇异期权价格因素的多样性导致了其定价异常复杂,因此定价问题是奇异期权理论的核心问题之一。然而由于奇异期权是由标准期权或定价相对简单的奇异期权衍生而来,这就有可能通过把奇异期权分解成为它们的组合,从而使其相对复杂的定价过程大大简化。通过把金融工程创造新型金融工具的分解思想引入欧式奇异期权的定价,并举出不同种类的奇异期权中典型的实例进行具体分析,进一步阐明了分解方法在简化欧式奇异期权定价中的作用。

The price of exotic option may be affected by various factors, which lead to the complexity of exotic option pricing, so one of critical problems in the theory of exotic option is how to price it. However, it may be much simplified by the technique of decomposition into combination of normal option or some exotic option with relatively simple expression in that exotic option can be derived from them. The method of decomposition for the creation of new - style financial instxuments in financial engineering was introduced to study the pricing of exotic option and some typical examples of different types of exotic option were used for concrete analysis, which further formulated the role of decomposition in simplifying the involved problem.