With the changes of the hypotheses, a kind of exotic option pricing model - a multi factor option pricing model is then derived, and with the boundary conditions, the analytic solution of a rainbow option based on two underlying variables is given.
先介绍了标准期权即Black Scholes单因素期权定价模型及其解析解 ,然后在多个标的变量的情况下 ,通过调整Black Scholes期权定价模型的基本假设条件 ,推导了一种新型期权定价模型———多因素型期权定价模型 ,并结合边界条件 ,给出了基于 2个标的变量的彩虹期权的解析解 ;并对此进行了扩展 ,推导出支付股票红利的多因素型期权定价模型 ,从而解决了多因素条件下的模型描述问题 ;最后给出了一个彩虹期权实例进行分析 ,验证了所得结论的有效性 。
This paper analyses the origins and characteristics of exotic options, and the classes of exotic options are catalogued.
本文剖析了新型期权的生成机理和主要特征 ,由此归纳出新型斯权的主要类型。
At last, a new approach of exotic option is provided.
本文首先简要介绍了期权定价理论的产生和发展,其次介绍了期权定价理论的数学理论基础知识,再次描述了Black-Scholes期权定价模型并对这一模型进行了修正,得到了欧式或有债权的一般公式,最后计算得出了两类新型期权的定价公式。
The Pricing of Exotic Options under Stochastic Volatility;
具有价格随机波动率的新型期权定价
In this paper, firstly, a kind of exotic options - standard geometric Asian option and its pricing model are dissertated; then, CEV is introduced, and the application of a binomial tree is put forward.
首先阐述了一种新型期权——标准几何亚式期权的涵义及其模型 ,介绍了 CEV(波动率弹性为常数 )的涵义 ;然后提出了二叉树方法在服从 CEV的几何亚式期权定价中的应用 ;最后给出了实例分析 ,验证了这种二叉树方法的有效性和收敛
In this paper,firstly,a kind of exotic options——binary option and its pricing model are dissertated;then,the analytic solution of the model is derived.
本文首先阐述了一种新型期权———两值期权的涵义及其模型 ,推导了两值期权定价模型的解析解 ;然后阐述了二叉树方法在两值期权定价中的应用 ;最后给出了实例分析 ,验证了二叉树方法的有效
Option model has been applied in banking and insurance industry widely.
期权模型已广泛应用于金融保险业。
The Pricing of Exotic Options in the Model of Jump-diffussion;
各类新型期权在跳扩散模型下的定价
Some Exotic Options Pricing in Jump-Diffusion Models;
跳跃—扩散过程中一些新型期权的定价
The First Hitting Time with Applications to Exotic Options Pricing;
首中时及其在新型期权定价中的应用
The Pricing of Exotic Options under Stochastic Volatility;
具有价格随机波动率的新型期权定价
A New Type of Binomial Tree Parameter Model for Option Pricing
一个新型的期权定价二叉树参数模型
A new solution to the geometric average Asian option pricing model;
几何平均亚式期权定价模型的新解法
A New Method of Option Pricing Based on Black-Scholes Model
基于Black-Scholes模型的期权定价新方法
A New Type of Triple Tree Parameter Model for American Option Pricing
美式看跌期权定价的新型树图参数模型
Some Exotic Reset Options Pricing in Ornstein-Uhlenback Process Models;
O-U过程模型下一些新型重置期权的定价
The Application of a New Type of Binomial Parameter Model for Asian Options Pricing;
新型二叉树参数模型在亚式期权定价中的应用
A Study on Option Pricing with a Kind of Renewal Jump-diffusion Process;
一类更新跳扩散模型下的期权定价研究
Research on Feminism of the New Clerisies in the May 4～(th) Period;
五四时期新型知识分子的女权思想研究
Study on the Supply Chain Based on the Option Theory and Technology Innovation;
基于期权理论的供应链技术创新决策模型研究
The Price Model and the Excitement of the Human Resource in the High-tech Enterprise;
高新技术企业人力资源期权定价模型及其激励
The Application of New Style Stock Index and Option Plan in Human Capital Pricing;
新型股指期权计划在人力资本定价中的应用
THE VALUATION OF BLACK-SCHOLES MODEL WITH CONTINUOUS DIVIDEND PAYMENTS;
连续支付红利的Black-Scholes期权定价模型的新解法
The Ideas of Options Pricing Models in the Modern Logistics Enterprise Valuation;
期权定价模型在物流企业价值评估中的新思路
Organizational Innovation,Power Recombination and "Letter and Visit" Institution Reform in the Transition Period;
组织创新、权力重组与转型期信访制度改革