Zhejiang Daxue xuebao. Lixue ban (Sep 2010)

The randomness of reset options(重置期权的随机性研究)

LIUYing(刘莹)

Affiliations

LIUYing(刘莹): Department of Basic Sciences, Zhejiang Vocational College of Commerce, Hangzhou 310053, China(浙江商业职业技术学院基础部，浙江　杭州　310053)

DOI: https://doi.org/10.3785/j.issn.1008-9497.2010.05.007
Journal volume & issue: Vol. 37, no. 5
pp. 511 – 514

Abstract

利用等价测度和鞅的方法,以股票价格为选择重设点依据的情况下推导了随机时间重置期权中的欧式看涨期权的定价公式.

Published in Zhejiang Daxue xuebao. Lixue ban

ISSN: 1008-9497 (Print)
Publisher: Zhejiang University Press
Country of publisher: China
LCC subjects: Science: Mathematics: Instruments and machines: Electronic computers. Computer science; Science: Physics
Website: https://www.zjujournals.com/sci/EN/1008-9497/home.shtml

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