最小平均价格期权定价降维方法研究
发布时间：2018-10-24 14:04
【摘要】：两个平均价格的最小值期权是金融市场领域非常具有应用前景的新型复合期权。本文主要研究两个平均价格的最小值期权的定价问题。价格的平均分为几何平均和算术平均两种情况。对于两个几何平均价格的最小值期权,本文在考虑了股票分红的情况下,推导出了期权定价公式。两个算术平均价格的最小值期权的定价是一个四维问题,本文将其化简为二维问题。
[Abstract]:The minimum option of two average prices is a new type of compound option with great application prospect in the field of financial market. In this paper, we study the pricing of the minimum option with two average prices. The average price is divided into geometric average and arithmetic average. For the minimum option of two geometric mean prices, this paper deduces the option pricing formula under the consideration of the stock dividend. The pricing of the minimum option of two arithmetic average prices is a four-dimensional problem. In this paper, the problem is simplified to a two-dimensional problem.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224
本文编号：2291622
[Abstract]:The minimum option of two average prices is a new type of compound option with great application prospect in the field of financial market. In this paper, we study the pricing of the minimum option with two average prices. The average price is divided into geometric average and arithmetic average. For the minimum option of two geometric mean prices, this paper deduces the option pricing formula under the consideration of the stock dividend. The pricing of the minimum option of two arithmetic average prices is a four-dimensional problem. In this paper, the problem is simplified to a two-dimensional problem.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224
【参考文献】
相关期刊论文 前1条
1 詹惠蓉;程乾生;;两个或多个几何平均价格的最小或最大值期权的定价[J];数学的实践与认识;2008年24期
，本文编号：2291622
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