英文标题：
《Pricing Formulae of Power Binary and Normal Distribution Standard
Options and Applications》
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作者：
Hyong-Chol O, Dae-Sung Choe
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最新提交年份：
2019
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英文摘要：
In this paper the Buchen\'s pricing formulae of (higher order) asset and bond binary options are incorporated into the pricing formula of power binary options and a pricing formula of \"the normal distribution standard options\" with the maturity payoff related to a power function and the density function of normal distribution is derived. And as their applications, pricing formulae of savings plans that provide a choice of indexing and discrete geometric average Asian options are derived and the fact that the price of discrete geometric average Asian option converges to the price of continuous geometric average Asian option when the largest distance between neighboring monitoring times goes to zero is proved.
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中文摘要：
本文将（高阶）资产和债券二元期权的Buchen定价公式纳入幂二元期权的定价公式中，导出了到期收益与幂函数和正态分布密度函数相关的“正态分布标准期权”的定价公式。作为应用，推导了提供指数和离散几何平均亚式期权选择的储蓄计划的定价公式，证明了当相邻监测时间之间的最大距离为零时，离散几何平均亚式期权的价格收敛于连续几何平均亚式期权的价格。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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