差价期权
- 网络Spreads;spread option;sprcads
差价期权-
在假定标的资产价格服从分数维布朗运动的新模式下，讨论标的资产有红利支付时的欧式差价期权的定价公式，并给出计算公式。
Under the hypothesis that underlying asset price follows fractional Brownian motion , some formulas of the Pricing of European Spread Option are obtained when the underlying asset on dividend-pay .
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推导了基于均值回复特征与随机波动率的信用差价期权、信用差价上限与下限的定价公式。
As applications , pricing formulas for credit spread options , caps and floors are derived .