摘要
在完全市场环境下,对传统单点重置期权进行了创新,当债券价格B(t)为时间t的确定性函数时,以鞅论和随机分析为数学工具,得到了创新期权的定价公式.
Option is a financial derivative product, which occurs from us. A in the middle of seventies. In the past three decades, it has been developed rapidly as an elective means for speculating and against risks. A lot of financial firms have been introducing some new options to attract investor. Single-point reset puts was introduced by Gray and Whaley. In the complete markets, an innovation of the conventional single-point reset option is provided. Next,when bond price B（t） is the function of t,the pricing formula of the the innovation is obtained by using methods of martingale and stochastic analysis.
出处
《湖南文理学院学报（自然科学版）》
CAS
2009年第3期13-16,共4页
Journal of Hunan University of Arts and Science(Science and Technology)
基金
国家自然科学基金资助项目(NSFC10871064)
关键词
重置期权
创新
等价鞅测度
reset options
innovation
equivalent martingale measure
