摘要
在股票价格服从对数正态分布的条件下,利用热传导方程,对系数是常数的标准任选期权的价值进行扩展,得到当无风险利率和股价的波动率随机时,任意时刻任选期权价值的计算公式.
On condition that the stock price obeys lognormal distribution, using the heat conduction equation, the value of standard chooser options with constant coefficient is generalized, the calculation formula of the chooser optional value at any moment is derived when the risk-free rate of interest rate and stock price volatility is random.
出处
《湖北文理学院学报》
2016年第5期5-8,共4页
Journal of Hubei University of Arts and Science
基金
宁德师范学院青年教师专项课题(2014Q62)
关键词
欧式任选期权
对数正态分布
热传导方程
股票看涨
股票看跌
European chooser options
Lognormal distribution
Heat conduction equation
Stock call option
Stock put option
