摘要
讨论以股指期货为原生资产的障碍期权的定价问题,利用Girsanov定理定义了等价鞅测度,在此测度下用鞅方法给出了股指期货障碍期权价值的Black-Scholes公式.
In this article, the pricing of barrier option which is as the underlying assets to stock index futures is discussed. Used the Girsanov theorem, the equivalent martingale measure is defined. Appling the martingale method , the pricing of Stock index futures barrier option＇s Black - Scholes option pricing formula is given.
出处
《哈尔滨师范大学自然科学学报》
CAS
2014年第3期43-45,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)
黑龙江省教育厅科学技术研究资助项目(12531202)
关键词
障碍期权
股指期货
风险管理
Barrier options
Stock index futures
Risk management
