【摘要】：兩個平均價格的最小值期權是金融市場領域非常具有應用前景的新型復合期權。本文主要研究兩個平均價格的最小值期權的定價問題。價格的平均分為幾何平均和算術平均兩種情況。對于兩個幾何平均價格的最小值期權,本文在考慮了股票分紅的情況下,推導出了期權定價公式。兩個算術平均價格的最小值期權的定價是一個四維問題,本文將其化簡為二維問題。
[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.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.91;F224

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相關期刊論文 前1條

1 詹惠蓉;程乾生;;兩個或多個幾何平均價格的最小或最大值期權的定價[J];數(shù)學的實踐與認識;2008年24期

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本文編號：2291622