摘要
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买权贴现到0时刻的价值过程为鞅,并且给出了对应单障碍买权价值过程的鞅性质.同时还讨论了执行价格为随机的触销式双障碍买权的鞅性质,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 of European continuous time knock out double barrier call options,which is discounted to time 0,is a martingale in the complete market without transaction costs,and the martingale property of single barrier call options is given.At the same time,the martingale property of European knock out double barrier exchange options is also being discussed,and the formula for determining their intrinsic value at any time t(0≤t≤T) is obtained.
出处
《应用数学》
CSCD
北大核心
2004年第S2期149-153,共5页
Mathematica Applicata
基金
安徽省软科学计划项目(02035034)
关键词
欧式触销式双障碍买权
鞅
随机执行价格期权
停时
马尔可夫性
European knock-out double-barrier call options
Martingale
Exchange options
Stopping times
The markov property
