摘要
本文考虑有连续红利支付的上升敲出期权的定价问题,并建立数学模型,运用障碍撞击概率推导出上升敲出期权的一个定价公式.
This paper considers the problem that up-knock-out option pay continuous bonus. Moreover,mathematical model for it is made.The pricing formula of up-knock-out option is derived by barrier hitting probability.
出处
《应用数学》
CSCD
北大核心
2006年第S1期173-174,共2页
Mathematica Applicata
关键词
障碍撞击概率
上升敲出期权
连续红利
Probability of hitting barrier
Up-knock-out option
Continuous bonus
