| 引用本文： |
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何芳丽,杨善朝.基于蒙特卡罗方法的极大重置看涨期权定价[J].广西科学院学报,2008,24(3):165-167. [点击复制]
- HE Fang-li,YANG Shan-chao.The Pricing for the Maximum Reset Call Option Based on Monte Carlo Methods[J].Journal of Guangxi Academy of Sciences,2008,24(3):165-167. [点击复制]
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| 摘要: |
| 将极值期权和重置期权组合得到新的极值重置期权后,在常利率模型下,用蒙特卡罗方法对极值重置期权的极大重置看涨期权进行近似定价. |
| 关键词: 期权 极值重置期权 定价 蒙特卡罗方法 |
| DOI： |
| 投稿时间：2007-06-22 |
| 基金项目:国家自然科学研究基金项目(10161004),广西自然科学基金项目(04047033)资助。 |
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| The Pricing for the Maximum Reset Call Option Based on Monte Carlo Methods |
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HE Fang-li1, YANG Shan-chao2
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| (1.School of Mathematics and Computing Science, Guilin University of Electronic Technology, Guilin, Guangxi, 541004, China;2.Department of Mathematics, Guangxi Normal University, Guilin, Guangxi, 541004, China) |
| Abstract: |
| By combining the extremum opions with reset options, an new kind of options,the extremum reset options is formed. Then, under the constant interest rate model,the approximate price of the maximum reset call option is obtained by Monte Carlo methods. |
| Key words: option extremum reset option price Monte Carlo methods |
