CAJ | 학술논문

通过引入一个价格障碍,对再装期权持有者在再装日的收益结构进行改进,并用更能反映实际形势的股价的几何平均值代替标准再装期权的固定敲定价格,创设了一种新型再装期权,利用鞅论和随机分析知识,给出了新型期权在O-U过程模型下的定价公式.
통과인입일개개격장애,대재장기권지유자재재장일적수익결구진행개진,병용경능반영실제형세적고개적궤하평균치대체표준재장기권적고정고정개격,창설료일충신형재장기권,이용앙론화수궤분석지식,급출료신형기권재O-U과정모형하적정개공식.
The revenue structure of the reload option holders has been improved through the introduction of a price barrier, a new reload option has been designed by using the geo- metric mean which can better reflect the actual situation instead of the strike price of the standard reload option, under the hypothesis that the asset price obey the Ornstein-Uhlenback process, the pricing formulas of the new option have been got by using methods of martingale and stochastic analysis.