摘要
首先利用无套利原理和It^o公式导出永久美式封顶看涨期权的一种定价模型,随后解出其显式解,同时给出问题中的参数对期权价格单调影响的数学证明和金融解释,最后利用这些结果得出非永久美式封顶看涨期权价格的一些性质.
The no - arbitrage principle and Ito＇s Lemma are employed to derive a pricing model for the permanent American capped call option and then the analytical solution is obtained. Meanwhile, both mathematical proof and financial interpretation of the option price＇s monotonicity dependence on the model parameters are presented. Finally, some properties of non - permanent American capped call option based on the previously mentioned results are derived.
出处
《华南师范大学学报（自然科学版）》
CAS
2008年第4期17-21,共5页
Journal of South China Normal University(Natural Science Edition)
基金
国家自然科学基金资助项目(10671075)
广东省自然科学基金资助项目(5005930)
高等学校博士学科点专项科研基金资助项目(20060574002)
关键词
看涨期权
无套利原理
自由边界
call option
no - arbitrage principle
free - boundary
