摘要
经典的Black-Scholes模型基于随机微分方程理论,利用概率工具,为欧式期权进行定价和对冲提供了方法,在其基础上稍作改进,就可以解决外汇欧式期权的定价和对冲问题,给出具体的定价公式以及出于对冲目的所需要持有的资产组合。
出处
《濮阳职业技术学院学报》
2014年第6期133-135,共3页
Journal of Puyang Vocational and Technical College
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同被引文献4
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1BLACK F, SCHOLES M. The pricing of options and corporate liabilities[ J]. Journal of Political Economy, 1973,81 (3) :637 -654.
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2全志勇,王瑜.支付离散红利的交换期权定价[J].经济数学,2010,27(1):26-29. 被引量：2
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3朱霞,葛翔宇.股票价格服从指数O-U跳扩散过程的期权定价[J].统计与决策,2014,30(3):164-167. 被引量：3
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4任智格,何朗,黄樟灿.一种无风险利率时变条件下的Black-Scholes期权定价模型[J].数学杂志,2015,35(1):203-206. 被引量：9
