摘要
随机型创新幂式期权以其结构简明、风险可控而受到投资者青睐。针对传统方法求解随机型期权存在的困难,提出用测度变换方法解决随机幂式期权的定价模型。受鞅定价方法的启发,推广计价单位的选取以获取相应的等价测度变换,得到随机利率情形下具有一般支付函数的测度变换公式;以此为基础选取远期债券为计价单位,并考虑债券价格波动和股价波动的相关性,可以方便地推导出随机型幂式期权定价模型。通过对模型风险特征的数值模拟分析,说明了幂型期权的优势所在。此项研究结论对金融衍生产品的发行者和投资者具有一定的理论借鉴意义。
Stochastic Innovation Power Options are popular to investors for their simple structure and controllable risk. Faced to the difficulty of stochastic options, a new method named measure thansform is used to solve the pricing models of stochastic innovation power options. Inspired by the essence of martingale pricing, the equivalent measure is gotten by the extending numeraire, and the measure transformation equation with general payment functions is derived under the stochastic rate . Then by choosing long-term bond as the numeraire and considering the correlation between bond price and stock price, the pricing models of stochastic power options can be given conveniently. By the numerical simulation analysis on the risk characteristics of our model, the advantages of the power options can be showed. The issuers and investors of financial derivaties can learn more from our conclusions.
出处
《中国管理科学》
CSSCI
北大核心
2009年第3期34-39,共6页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70671025)
关键词
等价鞅
随机利率
测度变换
创新幂式期权
equivalent martingale
stochastic interest rate
measure thansformation
innovation power optlons
