摘要
通过将几何亚式期权应用到再装期权中,解决了传统再装期权在再装日按B-S模型执行时所产生的经理激励问题,建立了几何亚式-再装股票期权的定价模型,并在股价服从分数O-U过程下得到了相应的定价公式.通过模拟分析发现,与传统再装期权相比,几何亚式-再装期权的价值要低一些,这说明几何亚式-再装股票期权能更好地降低代理成本.
By applied the geometric Asian option to the Reload stock option.this paper tried to solve the Manager Incentives problem produced on the reloading time of the reload option,The pricing model of the geometric Asian-reload option was established,and the corresponding pricing formula was obtained under the underlying asset obey to fractional O-U process.By an example analysis,we find that,campared with the traditional reload stock option,the value of geometric asian-reload stock option is smaller.This means that the geometric asian-reload stock option is able to reduce the agency costs.
出处
《经济数学》
北大核心
2010年第2期74-80,共7页
Journal of Quantitative Economics