首页|支付离散红利的回望期权定价

支付离散红利的回望期权定价

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回望期权是一种应用广泛的路径依赖型期权,文章假设标的资产价格在付息日的下跌数量等于红利支付数量,在付息日之间服从对数正态分布,研究回望期权的定价问题.利用二阶矩匹配的方法推导出回望期权的近似解析定价公式.用该方法计算出来的期权值与蒙特卡洛模拟值基本上是一致的.
Pricing Lookback Options with Discrete Dividend Payment
Lookback options are path dependent options and have been used widely.The pricing of lookback options under the condition that the underlying asset price falls by the same amount as dividend at payment dates and follows log-normal distribution between payment dates is studied.The approximate analytical pric-ing formulas for lookback options are derived using second-order moment matching.Numerical experiments show that the option prices calculated by the approximate formulas are basically consistent with those by Monte Carlo simulation.

discrete-dividendlookback optionsmoment matchingMonte Carlo simulation

马明艳、李翠香

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河北师范大学 数学科学学院,河北 石家庄 050024

新乡工程学院 信息工程学院,河南 新乡 453700

离散红利 回望期权 矩匹配 蒙特卡洛模拟

国家自然科学基金项目河北省教育厅重点基金项目河北省教育厅重点基金项目

11571089ZD2018065ZD2019053

2024

淮北师范大学学报(自然科学版)
淮北师范大学

淮北师范大学学报(自然科学版)

影响因子:0.222
ISSN:2095-0691
年,卷(期):2024.45(1)
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