广东石油化工学院学报Issue(3)：63-65,80,4.
对数 t分布下带跳的标准回望期权定价
Pricing Standard Lookback Option under a Log Student ’s t-distribution with Jumps
庄乐1
作者信息
- 1. 广东石油化工学院理学院，广东茂名525000
- 折叠
摘要
Abstract
This paper discusses the problem of pricing standard lookback option under a log Student ’s t -distribution with jumps .In the process of defining the market price V-( t ,S ,M ) ,the method of minimal mean-square-error hedging is applied .The paper also gives an approach to estimating the volatility parameter σ.关键词
t分布/最小均方误差规避/均值回归Key words
Student’s t-distribution/Minimal mean-square-error hedging/Mean reversion分类
管理科学引用本文复制引用
庄乐..对数 t分布下带跳的标准回望期权定价[J].广东石油化工学院学报,2014,(3):63-65,80,4.
