| 引用本文： |
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黄敢基,区诗德,杨善朝.可转换期权及其定价分析[J].广西科学院学报,2007,23(1):26-29,32. [点击复制]
- HUANG Gan-ji,OU Shi-de,YANG Shan-chao.The Convertible Option and Its Pricing Analysis[J].Journal of Guangxi Academy of Sciences,2007,23(1):26-29,32. [点击复制]
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| 摘要: |
| 给出一种新型期权——可转换期权的定义及其模型的基本假设,采用停时理论和期权定价的鞅方法得到可转换期权的定价公式,并将可转换期权的价格与标准欧式期权的价格进行对比分析。分析结果表明,当现实市场中由各种不确定因素引起的股票价格、无风险利率、波动率等因素发生较大变化时,可转换期权相比标准欧式期权具有风险小、潜在获利机会大等优点。 |
| 关键词: 期权 关卡 鞅 风险管理 |
| DOI： |
| 投稿时间：2006-01-09修订日期：2006-03-20 |
| 基金项目:广西自然科学资金项目(04047033)资助 |
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| The Convertible Option and Its Pricing Analysis |
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HUANG Gan-ji1,2, OU Shi-de1, YANG Shan-chao1
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| (1.Department of Mathematics, Guangxi Normal University, Guilin, Guangxi, 541004, China;2.College of Mathematics and Information Science, Guangxi University, Nanning, Guangxi, 530004, China) |
| Abstract: |
| We give the definition of a new kind of exotic option-convertible option and the basic assumptions of the model.The pricing formula of the new option is obtained with the help of the Martingale method and the theory of the stopping,and the price of the new option is analyzed by comparing it to the standard European options.Analysis result shows this new option shares the advantages of less risk and more potential profit opportunity,when factors in the practical markets such as stock prices,non-risk rates and volatility change to a fairly great extent out of a variety of uncertain reasons. |
| Key words: option barrier martingale risk management |
