摘要
随着金融市场的不断完善和发展 ,障碍期权的发展有了更大的空间 ,从而衍生出其它形式的障碍期权。利用反射原理 ,多维Girsanov定理和等价鞅测度 ,给出了四种衍生障碍期权的定价公式。为衍生障碍期权在金融市场上的应用创造了条件 ,从而促进市场繁荣。
With the development and sanity of the money market, barrier options become an intensive research area in recent years. What's more, many kinds of barrier options have been suggested. Utilizing the reflection principle, multi-dimenional Girsanov theorem and equivalent martingale measure, this paper presents some formulae of pricing four kinds of derivative barrier options, which make it possible to apply the derivative barrier options in money market.
出处
《湘潭师范学院学报（自然科学版）》
2004年第3期126-129,共4页
Journal of Xiangtan Normal University (Natural Science Edition)
基金
国家自然科学基金 ( 60 0 0 3 0 13 )
