东南大学学报（英文版）2017，Vol.33Issue(4)：511-516,6.DOI:10.3969/j.issn.1003-7985.2017.04.019
基于解析方法的离散障碍期权定价
Pricing of discrete barrier options based on an analytical method
摘要
Abstract
The problem of analytically pricing the discrete monitored European barrer options is studied under the assumption of the Black-Scholes market.First,using variable transformation,the mean vector and covariance matrix of multi-dimensional marginal distribution are given.Secondly,the analytical pricing formulas of the discrete monitored upknock-out European call option and the discrete monitored down-knock-out European put option are obtained by using the conditional probability and the characteristics of the multidimensional normal distribution.Finally,the effects of the discrete monitoring barriers on the prices of the barrier options are discussed and analyzed.The research results state that the price of the discrete monitored up-knock-out European call option increases with the increase in the up barrier,and the price of the discrete monitored down-knock-out European put option decreases with the increase in the down barrier.关键词
离散监督/障碍期权/定价/解析方法Key words
discrete monitored/barrier options/pricing/analytical method分类
管理科学引用本文复制引用
胡小平,曹杰..基于解析方法的离散障碍期权定价[J].东南大学学报（英文版）,2017,33(4):511-516,6.基金项目
The National Natural Science Foundation of China (No.71273139),the Soft Science Foundation of China (No.2010GXS5B147),the National Public Sector (Weather) Special Fund (No.GYHY201106019). （No.71273139）
