摘要
考虑了一类具有多个时间点重置执行价格的欧式熊市(或牛市)重置权证定价.应用鞅定价方法和多维正态分布函数,得到了该类权证价格的显示解和Δ对冲策略,推广了Gray和Whaley的单时点重置权证定价模型.
The price of an European Bear（or Ox） Market reset warrants with strike price reset on n pre-specified dates was considered. Using the martingale pricing theory and multi-dimensional normal distribution function, both the closed-form solutions and the delta hedging strategies of these warrants were obtained, which extended the Gray and Whaley＇s work withsingle reset date.
出处
《经济数学》
北大核心
2011年第3期82-86,共5页
Journal of Quantitative Economics
基金
国家自然科学基金资助项目(40675023)
广西自然科学基金(桂科自0991091)
广西教育厅科研资助项目(200807LX018)
