摘要翻译:
给出了一类特殊移动障碍的障碍期权价格的解析表示。我们考虑了无风险率、股息率和股票波动率都是时间依赖的情况。当移动障碍与无风险率、股利率和股票波动率有特殊关系时,给出了障碍期权的定价公式和看涨平价。
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英文标题:
《The Pricing of A Moving Barrier Option》
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作者:
Hyong-chol O
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最新提交年份:
2013
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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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一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要:
We provided an analytical representation of the price of a barrier option with one type of special moving barrier. We consider the case that risk free rate, dividend rate and stock volatility are time dependent. We get a pricing formula and put call parity for barrier option when the moving barrier has a special relation with risk free rate, dividend rate and stock volatility.
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PDF链接:
https://arxiv.org/pdf/1303.1296