摘要
采用鞅方法通过Girsanov定理讨论了一类远期启动林木期货期权的定价问题,利用等价鞅测度和标准正态分布函数给出期权的定价公式.
In this paper, with Girsanov theorem, the pricing problem of futures option of a class of forward starting forest is discussed by martingale method, and the option pricing formula is given by the equivalent martingale measure and the standard normal distribution function.
出处
《哈尔滨师范大学自然科学学报》
CAS
2012年第6期7-9,共3页
Natural Science Journal of Harbin Normal University
基金
黑龙江省自然科学基金资助项目(A201106)
关键词
期货期权
等价鞅测度
远期启动期权
Future option
Quivalent martingale measure
Forward starting option
