期刊论文

中文

南华大学学报(自然科学版)

1673-0062

2011

25

2

49-51+54

10.19431/j.cnki.1673-0062.2011.02.011

本校为第一机构

亚式期权和重置期权都是路径依赖型期权，结合两种期权的特点，本文创设了一种新型期权，利用等价鞅方法，给出了新型变异期权在0一U过程下的定价公式．

The Asian option and reset option are the path-depending options. Through com- bining the two options, this paper designed a new option. By using the martingale method, under the hypothesis that the asset price obey the Ornstein-Uhlenback process, the pricing f...