混合期权

多个分数次布朗运动影响时的混合期权定价

Pricing of Compound Option Driven by Multi Fractional Brownian Motions

本文讨论了股票价格服从指数O-U过程的幂型支付的双标的欧式混合期权的定价问题。

The pricing problem which bivariate European mixed options of the power payoffs on stocks driven by exponential O-U process is discussed in this paper .

对Ritchey的通过以有限马尔可夫链替代其非组合二项式概率树的有限混合期权定价模型进行了修改。

This paper modifies the finite mixture option pricing model of Ritchey by replacing his non-combining binomial probability tree with a finite Markov Chain .

分数布朗运动环境中混合期权定价

Pricing of Compound Option in a Fractional Brownian Motion Environment

方法改变Black-Scholes期权定价模型的基本假设，运用随机微分方程研究标的资产服从混合过程的期权定价。

Methods By changing basic assumption of Black-Scholes option pricing model , utilize the partial differential equation to study underlying asset pricing process which is mixed process .

有交易成本的标的资产服从混合过程的期权定价

Option pricing about underlying asset pricing process by mixed process with transaction costs

混合并购的期权评价模型研究

On Option Evaluation Model of Conglomerate M & A

在一组适当的假定下，构建了未来发展前景具有很大不确定性的一类企业混合并购的期权评价模型，并给出了其精确的定价公式。

An option evaluation model on conglomerate M & A is given for those companies that have high uncertainty of future development perspective , by using a precise mathematical model .

它是一种混合了多种期权的特殊的公司债券，除最为明显的转股期权外，往往还设有赎回期权、回售期权，并往往还设计有转股价格向下修正条款。

It is a special company bonds mixed with many options . Besides the evident equity convertible option , it usually has call option , put option , conversion price downward revision clause .

结果得到支付红利的服从混合过程的股票期权定价公式及平价公式。

Results The pricing formulae for European option and its parity are obtained under the underlying asset pricing process by mixed process with dividends-payment .