【摘要】 讨论连续履约价期权、连续履约价限界期权的定价.在完备市场中,在一个单因素的H JM框架之下,利用鞅方法,获得了这两类看涨期权的精确的定价公式.最后用数值化的结果讨论了股票价格与利率的相关程度对连续履约价买权的影响.更多还原

【Abstract】 The continuous strike call options,and the strike range call options were discussed.Under a single-factor HJM framework,these closeform solutions of call options were obtained by martingale method in a complete market.The effect of correlation between stock price and interest rates on the call continuous strike options was analysed by numerical result.更多还原