摘要
远期起点期权是一种路径依赖型期权,由于它具有远期开始的性质,因此受到投资者的关注,给该期权进行合理定价具有重要意义.首先建立有多个扩散源的标的资产价格过程和承约方资产价格过程的随机微分方程,然后通过测度变换的方法推导出了带有信用风险的远期起点期权的定价公式,推广了以前的相关结果.
Forward-start options are path dependent options. Investors pay attention to forward-start options because of the characteristic of the forward start. Therefore,it is greatly significant to get a reasonable price for this options. In this paper,we firstly establish stochastic differential equations of underlying asset price processes and counterparty asset price processes with multiple diffusion sources. And then, by using the method of measure transformation we deduce the pricing formulas of forward-start options with default risks. What＇s more, we extend the previous results.
出处
《河北师范大学学报（自然科学版）》
CAS
2018年第1期1-6,共6页
Journal of Hebei Normal University：Natural Science
基金
国家自然科学基金(11571089)
关键词
信用风险
远期起点期权
测度变换
default risk
forward-start option~ measure transformation
