摘要
本文通过对交换期权的分析,运用一系列假设,得出了交换期权的平价关系这一命题,然后对其进行证明讨论.
In this paper, exchange options was analysed, using a series of hypothesis, parity relationship of the ex- change option was proposed,and a discussion and proof on exchange option were given.
出处
《甘肃联合大学学报（自然科学版）》
2013年第1期24-27,共4页
Journal of Gansu Lianhe University :Natural Sciences
基金
Project supported by the National Natural Science Foundation of China(11261042)
关键词
交换期权
布朗运动
泊松过程
跳跃幅度
风险中性测度
exchange option
Brownian motion
Poisson process
jump range
risk neutral measure
