敲出期权即敲出障碍期权,当标的资产价格达到一个特定障碍水平时,期权自动作废,称具有这一特征的期权为敲出障碍期权(即敲出期权)。
本文运用期权的风险中性定价理论,通过分析资产价格过程的性质,建立了双敲出期权的数学模型。
This paper is based on the theory of the risk neutral. By analyzing the property of matingale of the option price, we construct the model of the double barriers option.
其中,变界障碍时刻的欧式上升敲出看涨期权的定价公式具有较好的实用性。
The pricing formula of European up-and-out call option with varied barriers is practicable.
本文以向下敲出欧式买入期权作为研究对象,得出其在非完全市场下的近似表达式。
The study subject of the text is down-out calls whose approximate pricing formula in the incomplete market are worked out in the text.
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