欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
目前对于择好期权的定价研究，大多没有考虑原生资产收益率之间的微观联系，使得定价结果可能偏离真实价值．基于此考虑，给出了两家具有微观联系的上市公司股票的数学模型，在此模型基础上利用delta对冲推导出择好期权满足的PDE，通过计价单位转换的方法求出择好期权的定价公式，分析了股票问微观联系对择好期权的价格影响．
英文摘要：
Most of the up-to-date studies on better - of options neglect the influence of microcosmic relations of the base capital. This could lead to different results from the true value of the better - of options. So we investigate the microcosmic relations and their influence to the pricing of better - of option, in an attempt to improve the existing pricing models. Then we deduce the PDE for the better - of option by delta hedging and get the pricing formula. And we analyze the impact microcosmic relations between stocks on the prices of better - of options.
同期刊论文项目
同项目期刊论文
期刊信息
位置：