| 布朗运动的最大值与回望期权 |
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| 引用本文： | 包晓光. 布朗运动的最大值与回望期权[J]. 河南机电高等专科学校学报, 2010, 18(1): 40-42 |
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| 作者姓名： | 包晓光 |
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| 作者单位： | 河南师范大学数学与信息科学学院,河南,新乡,453007 |
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| 摘 要： | 在新型期权定价中经常遇到具有漂移的布朗运动的最大值问题,运用有限[0,T]时间段的具有漂移布朗运动的最大值的分布理论研究回望期权,得到了回望期权的定价公式。
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| 关 键 词： | 具有漂移的布朗运动 回望期权 鞅方法 |
Maximun of Brownian Motion and Lookback Option |
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| BAO Xiao-guang. Maximun of Brownian Motion and Lookback Option[J]. Journal of Henan Mechanical and Electrical Engineering College, 2010, 18(1): 40-42 |
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| Authors: | BAO Xiao-guang |
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| Affiliation: | BAO Xiao-guang (Department of Mathematics,Henan Normal University,Xinxiang 453007,China) |
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| Abstract: | The maximum of Brownian motion with drift is often encountered in the pricing of exotic option.The distribution of the maximum of Brownian motion with drift was applied to lookback option,thus a simple piecing expressions was derived. |
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| Keywords: | Brownian motion with drift lookback options martingale methods |
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