|Table of Contents|

[1] Hu Xiaoping, Cao Jie,. Pricing of discrete barrier options based on an analytical method [J]. Journal of Southeast University (English Edition), 2017, 33 (4): 511-516. [doi:10.3969/j.issn.1003-7985.2017.04.019]
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Pricing of discrete barrier options based on an analytical method()
基于解析方法的离散障碍期权定价
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Journal of Southeast University (English Edition)[ISSN:1003-7985/CN:32-1325/N]

Volumn:
33
Issue:
2017 4
Page:
511-516
Research Field:
Economy and Management
Publishing date:
2017-12-30

Info

Title:
Pricing of discrete barrier options based on an analytical method
基于解析方法的离散障碍期权定价
Author(s):
Hu Xiaoping1;  Cao Jie2
1School of Economics and Management, Southeast University, Nanjing 210096, China
2School of Mathematical Statistics, Nanjing University of Information Science and Technology, Nanjing 210044, China
胡小平1;  曹杰2
1东南大学经济管理学院, 南京210096; 2南京信息工程大学数理学院, 南京210044
Keywords:
discrete monitored;  barrier options;  pricing;  analytical method
离散监督;  障碍期权;  定价;  解析方法
PACS:
F830.59
DOI:
10.3969/j.issn.1003-7985.2017.04.019
Abstract:
The problem of analytically pricing the discrete monitored European barrier options is studied under the assumption of the Black-Scholes market. First, using variable transformation, the mean vector and covariance matrix of multi-dimensional marginal distribution are given. Secondly, the analytical pricing formulas of the discrete monitored up-knock-out European call option and the discrete monitored down-knock-out European put option are obtained by using the conditional probability and the characteristics of the multi-dimensional normal distribution. Finally, the effects of the discrete monitoring barriers on the prices of the barrier options are discussed and analyzed. The research results state that the price of the discrete monitored up-knock-out European call option increases with the increase in the up barrier, and the price of the discrete monitored down-knock-out European put option decreases with the increase in the down barrier.
在Black-Scholes市场假设下, 研究了离散监督障碍期权的解析定价问题.首先, 通过变量变换, 给出了多维边际分布的平均向量和协方差矩阵.其次, 通过使用条件概率和多维正态分布的特征, 获得离散监督向上敲出欧式看涨期权和离散监督向下敲出欧式看跌期权的解析定价公式.最后, 讨论和分析了离散监督障碍对障碍期权价格的影响.研究结果表明, 随着上障碍的增大, 离散监督向上敲出的欧式看涨期权价格变大;离散监督向下敲出欧式看跌期权价格随着下障碍的增加而变小.

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Memo

Memo:
Biography: Hu Xiaoping(1971—), male, doctor, associate professor, hxpnj@seu.edu.cn.
Foundation items: The National Natural Science Foundation of China(No.71273139), the Soft Science Foundation of China(No.2010GXS5B147), the National Public Sector(Weather)Special Fund(No.GYHY201106019).
Citation: Hu Xiaoping, Cao Jie.Pricing of discrete barrier options based on an analytical method[J].Journal of Southeast University(English Edition), 2017, 33(4):511-516.DOI:10.3969/j.issn.1003-7985.2017.04.019.
Last Update: 2017-12-20