摘要
目的研究任选期权在任意时刻的定价。方法采用风险中性定价原理。结果基于标的资产的对数正态分布的假设,推导了股票任选期权在任意时刻的定价公式。结论应用任选期权定价公式可以确定任选期权在任意时刻的公平价格。
Aim To research the pricing formula of chooser options of stocks at any time. Methods Pricing principle of the risk neutral was used. Results Based upon underlying asset＇s lognormal distribution, the pricing formula of chooser options of stocks at any time is deduced. Conclusion Fair price of chooser options can be determined at any time using the pricing formula of chooser options.
出处
《宝鸡文理学院学报（自然科学版）》
CAS
2011年第3期18-21,共4页
Journal of Baoji University of Arts and Sciences(Natural Science Edition)
