经济数学2016，Vol.33Issue(1)：42-45,4.
具有时滞响应的择好期权定价
The Pricing of European Better-of Ptions with Delay Response
摘要
Abstract
Assuming that the markets are complete,we use the changes of numeraire,the theory of equivalent martin-gale measure and no-arbitrage property to study the pricing of European better-of options for stock prices with delay.In conclu-sion,we derive a closed-form representation of the option price,and hedging strategy.关键词
股票价格/时滞/择好期权/等价鞅测度Key words
stock prices/delay/better-of options/equivalent martingale measure引用本文复制引用
张玉林,李亚琼,罗汉..具有时滞响应的择好期权定价[J].经济数学,2016,33(1):42-45,4.基金项目
国家自然科学基金资助项目(71171077) （71171077）
