触销式双障碍卖权价值过程分析及其定价

Analysing the Value Process of Knock-out Double-barrier Put Option and Pricing

主要证明了在不存在交易成本的完全市场条件下连续时间欧式触销式双障碍卖权贴现到0时刻的价值过程{V(t∧τL∧τH,St∧τL∧τH);0 t T}为鞅,并且给出了对应单障碍卖权价值过程的鞅性质。同时还讨论了美式触销式双障碍卖权的定价问题,给出了任意时刻t(0 t T)其内在价值的表达式。

It is proved that the value process{V(t∧τL∧τH,St∧τL∧τH);0tT}of european continuoustime knockout doublebarrier put options is a martingale in the complete market without transaction costs, and the martingale property of singlebarrier put options is given. At the same time, the pricing problem of American knockout doublebarrier put options is also discussed, and the formula for detemining their intrinsic value at any time t(0tT)is obtained.