摘要
亚式期权和重置期权都是路径依赖型期权,结合两种期权的特点,本文创设了一种新型期权,利用等价鞅方法,给出了新型变异期权在O-U过程下的定价公式.
The Asian option and reset option are the path-depending options. Through com- bining the two options, this paper designed a new option. By using the martingale method, under the hypothesis that the asset price obey the Ornstein-Uhlenback process, the pricing formulas of the new option have been get.
出处
《南华大学学报（自然科学版）》
2011年第2期49-51,54,共4页
Journal of University of South China：Science and Technology
关键词
亚式期权
重置期权
O-U过程模型
布朗运动
Asian option
reset option
the Ornstein-Uhlenback process
Brown motion
