摘要
本文针对农作物生长的阶段性,研究了在连续扩散的基础上,含有障碍条款以及重置条款的农作物生长指数期权的定价问题。利用投资组合进行对冲,建立了农作物生长指数期权的复合条款模型。通过分阶段计算,得到了相应的定解问题,最后用偏微分方程的理论得到显式的定价公式并给出了数值分析实例。
In this paper, we discuss the option pricing model of the cumulate growing degree day with the obstacle items and resetting items on the basis of a continuous diffusion. By means of portfolio hedging, a model of the cumulate growing degree day option is established. The corresponding solution is obtained by a stage-wise calculation. Finally, a obvious pricing formula is obtained by the method of PDE, and a practical numerical example is given.
出处
《工程数学学报》
CSCD
北大核心
2010年第1期1-10,共10页
Chinese Journal of Engineering Mathematics
基金
国家重点基础研究发展计划(973计划)(2007CB814903)
上海市科委重大科技攻关项目(075105118)
上海市计算数学重点学科和上海师范大学科研项目(SK200933
SK200812)~~
关键词
天气期权
复合期权
投资组合
定价公式
weather option
compounding option
portfolio
pricing formula
