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ON PRICING MODEL OF THE RESET OPTION WITH N PREDETERMINED LEVELS

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摘要 MotivatedbytheresetoptionwithnpredetermineddatesanalyzedbyW.Cheng,weconsiderakindofresetoptionwithuncertaindatesbyintroducingNpre-specifiedbarrierlevels.Weclaimthisresetoptionconsistsofsomestandardknock-inandknock-outbarrieroptions.Theclosed-formpricingformulaisderivedbymeansofaPDE'sapproach.

DOI rdxwvewyjl/2184349

作者 JIANGLishang;YANGDesheng;ZHANGShuguang

机构地区不详

出处《系统科学与复杂性学报：英文版》 2004年1期

关键词定价模型证券市场履约价格正态分布

分类 [自然科学总论][系统科学]

出版日期 2004年01月11日（中国期刊网平台首次上网日期，不代表论文的发表时间）

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来源期刊

系统科学与复杂性学报：英文版

系统科学与复杂性学报：英文版

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定价模型证券市场履约价格正态分布

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