双向期权

不同借贷利率下欧式双向期权的定价

Pricing of Bi-direction European Option under Different Borrowing-lending Interest Rates

供应链柔性契约与单向及双向期权模式选择

Supply Chain Flexibility Contract and the Selection of Unilateral & Bidirectional Option Style

欧式双向期权的定价问题

Pricing of Bi - direction European Option

双向期权使得物流服务集成商可以调整初始订购量和期权购买量。

Bidirectional option makes logistics service integrator can adjust the initial order quantity and the number of options purchased .

对具有不确定执行价格的股票价格分别服从几何布朗运动和几何分数布朗运动时的欧式双向期权进行了分析，得到了相应的定价公式。

We give the pricing of Bi-direction European options with the exercise price is uncertain when the stock price submitting to geometry Brown walk and geometric fractional Brownian motion .

假设借贷利率不相同，在考虑股票和债券价格行为特征的基础上，利用鞅方法推导了不同借贷利率下欧式双向期权的定价公式。

The pricing formula of Bi-direction European option under different borrowing-lending interest rates is derived by applying the martingale method , considering comprehensively the interest rates and the models of stock price .

讨论了指数OU过程模型所对应的指数鞅成立的条件，并用鞅方法定价了指数OU过程模型双向欧式期权。

In this paper , we discuss the condition of exponential martingale for Ornstein Uhlenbeck process model in detail and price bi direction European option driven by Ornstein-in-Uhlenbeck process .