摘要
障碍期权广泛应用于外汇、股票以及一般商品市场用以规避风险或者投资。基于曲线边界条件对障碍期权进行定价,在假设曲线边界是指数边界的前提下,运用变量代换对其所符合的偏微分方程标准化,而导出各种障碍期权的定价公式;然后运用叠加原理、奇延拓方法及有关各种障碍期权所存在的内在关系进一步导出各类障碍期权的平价公式。
Barrier option is extensively applied in hedging and investment in foreign exchange,equity,and commodity markets.Based on the condition of curved boundary pricing,the barrier option is to standardize the relative PDF by taking the variable transformation of the PDF and it is given to some pricing formulas;and then the principle of superposition,the odd expansion and the inherent relation are applied to give some par formulas of barrier options.
出处
《学术问题研究》
2009年第2期30-34,55,共6页
Academic Research(Integrated Edition)
关键词
障碍期权定价
平价公式
曲线边界
the pricing of barrier options
the par formulas
curved boundary
