Study on Pricing Look Back Option with Bonus under the CEV Model

被引：0

作者：

Zheng Xiaoyang ^{[1
]}

Pang Baoquan ^{[1
]}

机构：

[1] Harbin Engn Univ, Coll Sci, Harbin 150001, Peoples R China

来源：

PROCEEDINGS OF THE 5TH (2013) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS I AND II | 2013年

关键词：

Black - Scholes model; continuous dividend; look back option pricing; PATH DEPENDENT OPTIONS;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Black-Scholes model has solved European option pricing in efficient market successfully. But it is established in a certain hypothesis conditions. However, in the reality of transactions, investors will get in a certain stock dividend. Based on the Black - Scholes model on the basis of the CEV model in the kind of a dividend of look back option pricing problem, then drive the model of continuous dividend look back option pricing of differential equation.

引用

页码：575 / 577

页数：3

共 9 条

[1]

[Anonymous], 2016, Options, Futures, and Other Derivatives

[2]

BLACK F, 1973, THE JOURNAL OF POLIT, P637, DOI DOI 10.1086/260062

[3]

CONZE A, 1991, J FINANC, V46, P1893

[4] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].

COX, JC ;

ROSS, SA .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :145-166

[5] PATH DEPENDENT OPTIONS - BUY AT THE LOW, SELL AT THE HIGH [J].

GOLDMAN, MB ;

SOSIN, HB ;

GATTO, MA .

JOURNAL OF FINANCE, 1979, 34 (05) :1111-1127

[6]

Kwork Yue K, 1998, MATH MODELS FINANCIA

[7]

Victor G, 2004, FINANCIAL MATH

[8]

Yuan G.J, 2008, J W ANHUI U, P21

[9]

Zhang Bo, 2004, APPL STOCHASTIC PROC

← 1 →