摘要
本文首先阐述了一种新型期权———上升敲出期权的涵义及其模型 ,提出了一种新的格法对其求解 ;然后推广到对双重障碍期权的求解 ;最后给出了实例分析和实证分析 ,验证了这种新的格法的有效性与快速收敛性。
In this paper,firstly,a kind of exotic options--Up Knock-out Option and its pricing model are dissertated;then,a new lattice approach to solve the model is put forward.In addition,the approach is extended to solve a double-barrier option pricing.At last,examples and empirical analysis which indicate the validity and fast convergence of the approach are provided.
出处
《中国管理科学》
CSSCI
2002年第6期23-26,共4页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目( 79970 0 96 )
