长春大学学报（自然科学版）Issue(6)：1671-1674,1680,5.
标的资产带有红利支付的回望期权定价
Valuation of Lookback Option of Underlying Asset with Dividend Payment
摘要
Abstract
The method of measure transformation is used to study the pricing problem of a kind of strong path dependence exotic op-tion—lookback option, taking the condition of underlying asset with dividend payment into account. First, the pricing model under geo-metric Brownian motion is established, then the equivalent measure is established by the application of stochastic analysis knowledge to obtain the risk-neutral pricing formula, finally, the explicit solution of the lookback option pricing is derived by the risk-neutral pricing formula.关键词
测度变换/风险中性/回望期权Key words
measure transformation/risk neutrality/lookback option分类
数理科学引用本文复制引用
桑利恒..标的资产带有红利支付的回望期权定价[J].长春大学学报（自然科学版）,2014,(6):1671-1674,1680,5.基金项目
安徽高校省级自然科学研究资助项目(KJ2012Z284) （KJ2012Z284）
滁州学院科学研究资助项目(2011KJ003B) （2011KJ003B）
