【摘要】 讨论了一种新型期权———关卡期权的定价问题.一般关于关卡期权的讨论往往只涉及比较简单的情况,即期权障碍是恒定不变的,但实际上期权障碍是会随时间而变化的,文中在关卡期权的关卡值关于时间依赖的假设下,借助倒向随机微分方程方法和等价鞅方法,推导出一种欧式下降敲出看涨关卡期权的定价公式.更多还原

【Abstract】 The pricing of a new kind of option, barrier option, is discussed in this paper. The general discussion about- barrier options usually concerns a relatively simple situation, that is, the option barrier is constant. However, the barrier actually changes with time. Because of this, the backward stochastic differential equation and the equi-valent martingale are used to get a group of formulae for pricing the European down-and-out call options with the hypothesis that the barrier is dependent on time.更多还原