两值期权价值的推导
Derivation of the value of binary options
王海叶1
作者信息
- 1. 宁德师范学院 数理学院,福建 宁德 352100
- 折叠
摘要
假设ln ST是正态分布的随机变量,股票期望收益率、股价波动率、无风险利率三者都是常量,运用风险中性定价原则,推导两值期权在任意时刻t ∈[0,T]的价值.并且证明得到的两值期权价值计算公式和求解偏微分方程的结果一致.
Abstract
Assuming ln ST obeys a normally distribution,the expected return on stocks,stock price volatility,and risk-free interest rate are all constants.Using the risk neutral pricing principle,the value of binary options at any time is derived.It has been proven that the formula for calculating the value of binary options obtained is consistent with the results obtained by solving partial differential equations.
关键词
两值期权/资产或无价值看涨期权/现金或无价值看涨期权Key words
binary option/asset-or-nothing call/cash-or-nothing call引用本文复制引用
出版年
2024
NETL
NSTL
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