摘要
根据初始股票价格S0的位置将双障碍期权划分为两大类,研究了双障碍期权的定价问题,发现双障碍期权或由一份单障碍期权和一份双边敲出期权组合而成或由两份单障碍期权组合而成,从而将双障碍期权的定价问题转化为单障碍期权和双边敲出期权的定价问题.
In this paper, double barrier options were divided into two types according to the position of the initial stock price S0. Their pricing problems are studied. We find that double barrier options are composed of either one single barrier option and one double knock-out option or two single barrier options. Thus the pricing problem of double barrier options are transformed to the pricing problems of single barrier options and double knock-out options.
出处
《上海师范大学学报（自然科学版）》
2009年第4期347-354,共8页
Journal of Shanghai Normal University(Natural Sciences)
基金
上海高校优秀青年教师科研专项基金(ssd08029)
上海师范大学科研项目(SK200812
SK200933)
国家重点基础研究发展计划(973计划)子课题(2007CB814903)
上海市科委重大科技攻关项目(075105118)
关键词
双障碍期权
单障碍期权
期权定价
double barrier option
single barrier option
option pricing
