障碍期权

回报的偏峰现象和隐含波动率的微笑现象是Black-Scholes模型无法解释的两个现象，本文引入了双曲波动率模型，并研究了在这一模型下的障碍期权的定价问题。

The phenomenon of return kurtosis and volatility smile is contradict with the Black-Scholes model . We introduce the hyperbolic volatility model to overcome the drawbacks , and we conduct research on barrier option pricing with this model .

最后还给出了离散双障碍期权的平价公式。

Finally we obtain the discrete double barrier option parity formula .

不变方差弹性（CEV）过程下障碍期权的定价

Pricing barrier options under CEV process

Hull-White随机波动率模型的欧式障碍期权

Pricing European Barrier Options in Hull-White Stochastic Volatility Model

通过与经典的Black-Scholes模型比较，我们得到时间标度δt和Hurst指数H在障碍期权的定价中扮演着重要的角色，并且障碍期权具有标度依赖性。

In contrast to the classical Black-Scholes model , we know that time scaling δ t and Hurst exponent H play an important role in option pricing with transaction costs and that barrier option pricing is scaling-dependent .

在红利不等于零的情况下，证明Black-Scholes定价模型的解的存在唯一性更为复杂，而这一步是用非数值方法进行障碍期权定价的基础。

When the bonus rate is not zero , it is much more difficult to prove the uniqueness and existence of Black-Scholes pricing model , and this step is the base of non-numerical methods .

首先，本文研究了分数Black-Scholes模型下带交易费的八种欧式障碍期权的定价问题，分别给出了它们的定价公式及涨跌平价公式。

First , the pricing problems of eight kinds of European barrier options by the fractional Black-Scholes model with transaction costs are discussed , their pricing formulae and call - put parity are derived .

连续支付红利的美式障碍期权定价的数值方法

Numerical method for pricing American barrier option with continuous bonus paying

并且介绍了一种奇异期权&障碍期权的概念。

Then a kind of exotic option __barrier option concept is presented .

分数次布朗运动的欧式障碍期权定价

Pricing of European barrier options in a fractional Brownian motion

非模糊与模糊状态下的一类障碍期权定价

The Pricing for a Class of Barrier Options under Non-Fuzzy or Fuzzy Condition

双障碍期权的数学模型及其定价

The Model And Pricing of The Double Barriers Option

障碍期权的研究也日益成为期权定价领域的热点。

Barrier option study also becomes increasingly hotspots in the option pricing field .

基于障碍期权的基础设施项目政府担保价值研究

The Barrier Options-based Research of the Value of Government Guarantees in Infrastructure Projects

基于敲出障碍期权和博弈理论的项目投资决策分析

Analysis on Project Investment Decision Based on Down Knock - out Option and Game Theory

衍生障碍期权的定价问题

The problem of pricing derivative barrier options

本文利用反射原理对障碍期权的定价问题进行了简化，从而最终给出障碍期权的定价公式。

This paper presents the formulas of pricing barrier options , using the reflection principle .

障碍期权的定价问题

The problem of pricing barrier options

双边敲出障碍期权定价模型

Double knock-out call option pricing model

上升敲出的障碍期权的二项式定价模型

Binomial pricing model of up-and-out calls

文章首先给出了一种奇异期权&障碍期权的涵义；

The meaning of a kind of exotic option , the barrier option , is presented .

然后推广到对双重障碍期权的求解；

In addition , the approach is extended to solve a double - barrier option pricing .

从障碍期权，看涨期权和看跌期权的结构是一样的条件相同。

From the structure of barrier options , call option and put option is the same as the terms .

美式障碍期权的定价问题是当前期权定价研究的热点之一。

The pricing problem of the American barrier option is currently regarded as one of the hot spot in the option pricing studies .

在第二章中，作者运用传统的定价思路，得到了非模糊状态下单障碍期权的定价公式。

In chapter 2 , we derive pricing formulas for the class of barrier options under non-fuzzy condition by applying traditional pricing method .

继续开放外汇、黄金、证券、期货等市障碍期权和基于跳扩散过程的外汇期权定价

Markets for foreign exchange , gold , securities , futures and the like shall continue . The Pricing of Barrier 、 Foreign Option

通过约化方法将问题转化为标的资产服从布朗运动的障碍期权定价问题。

Through reduction method , we convert the original pricing problem to a new barrier option pricing problem , where the underlying asset follows Arithmetic Brownian motion .

首先根据障碍期权的不同类型，对普通欧式向下敲出看涨幂期权、部分时间开始、部分时间结束、一般部分时间欧式向下敲出看涨幂期权给出定义。

According to different kinds of barrier options , we define ordinary European Down-and-Out Power Calls , Partial-time-start , Partial-time-end and ordinary partial time Down-and-out Power calls .

障碍期权由其定义决定了它价格要比一般的标准期权价格要低得多，但是它在商品和金融产品投资中能起到很好的避险效果。

The price of barrier option is much more cheaper than the normal option , but it can still take good effect in the investment of commodity and financial product .

再者，我们以欧式下降敲出看涨和下降敲入看涨期权为例，讨论了标度和长期依赖性对障碍期权定价的影响程度及特征。

Furthermore , with European down-and-out and down-and-in call options as an example , we discussed the impact and characteristics of the scale and long-time dependence on the barrier options .