摘要
文献[1]中讨论了双标的欧式期权的特殊情形,本文讨论一般情形:无风险资产(债券或银行存单)有依赖时间参数的利率rt,两种风险资产(股票)连续支付红利,并且分别有依赖时间参数的期望收益率μ1t,μ2 t,波动率σ1t,σ2 t,红利率q1t,q2 t以及两风险资产瞬时报酬率的相关系数ρt.在此基础上,构造了一类较为复杂的双标的型欧式买权,利用二维Girsanov定理以及鞅方法。
Special cases of Bivariate European Options were discussed in ref. .In this paper,Bivariate European Options are generalized to the case where the riskless asset (bond or bank account)earns a time-dependent interest rate r_t and the two risk assets (stocks) pay dividends and have time-dependent expected rates of return μ_ 1t,μ_ 2t, volatilities σ_ 1t,σ_ 2t, dividend yields q_ 1t,q_ 2t ,and correlation coefficient ρ_t. Using two-dimensional Girsanov Theorem and matingale method,general pricing formula of a kind of Bivariate European Call Option which is constructed to be more complex is derived, and its hedging parameters △_1,△_2 are given, too.
出处
《经济数学》
2005年第1期27-35,共9页
Journal of Quantitative Economics
基金
高校博士点专项科研基金 (NO:2 0 0 4 0 5 42 0 0 6 )
国家自然科学基金 (NO:10 0 710 19)资助
关键词
二维Girsanov定理
双标的
股票期权
布朗运动
鞅方法
风险中性概率测度
Two-dimensional Girsanov theorem
Bivariate options
Brownian motion
Martingale method
Risk-Neutral Probability Measure
It formula
