摘要
研究了离散鞅论在多期期权定价下的推广。通过假设前提,确定了多期期权模型的结构,分析其欧式期权的性质,并运用反证法和单期模型的相关理论得出了多期期权下的关系式。
In this paper, the authors study the promotion of discrete-time martingale theory in multi-period option pricing, determine the structure of the multi-stage option model by assuming the premise, analyze the nature of the European option, and obtain the relationship under multi- period option with reductio ad absurdum and the single-phase model.
出处
《唐山学院学报》
2015年第6期7-8,共2页
Journal of Tangshan University
基金
国家自然科学基金项目(11371030)
关键词
离散鞅论
期权定价
多期期权定价
欧式期权
discrete-time martingale
option pricing
multi-period option pricing
European option
