摘要
考虑常参数下基于收益率对数的二选较优看涨期权和二选较差看涨期权的定价,利用测度变换,将现实概率测度转化为风险中性概率测度,通过直接计算得到其解析定价公式.
Considering the pricing formula of the better-of-two call option and worse-of-two option based on the logarithmic rate of return in the constant parameters,we transform the realistic probability measure into the risk neutral probability measure,and then obtain its analytical pricing formula through the direct calculation.
作者
李艺卓
刘丽霞
LI Yizhuo;LIU Lixia(College of Mathematics and Information Science, Hebei Normal University, Shijiazhuang 050024, Hebei Chin)
出处
《吉首大学学报（自然科学版）》
CAS
2018年第2期21-25,54,共6页
Journal of Jishou University(Natural Sciences Edition)
基金
国家自然科学基金资助项目(11501164)
关键词
常参数
收益率对数
二选期权
测度变换
定价
constant parameter
logarithmic rate of return
alternative options
measure transformation
pricing
