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The Pricing of Power Option and Its General Zation

Author: BaiZuoZuo
Tutor: ShiZuo
School: Xinjiang University
Course: Operational Research and Cybernetics
Keywords: Power-option Equivalent Martingale measure Unit pricing Consecutive dividend Stochastic interest rates
CLC: F224
Type: Master's thesis
Year: 2007
Downloads: 84
Quote: 1
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Abstract


This paper studies the power-pricing options, the article is divided intothree chapters. Chapter 1 Introduction. Power-option given the background andprevious results. The second chapter presents Ito? Integral Brown movement,and some other basic concepts and theories transform unit pricing. ChapterIII is in and with continuous dividend Random interest rates have a situationwhere the power-based options. Section I is prior knowledge In that section,given the underlying assets of f(S) the nature of the two options (Theorem 3.3)and (Theorem 3.4 ). Section II with continuous dividends in the case of power-given the option pricing formula (Theorem3.6)and (Corollary 3.7). Section IIIin random interest is the case of power-option pricing formula (Theorem3.8).Section 4th when the underlying assets is a polynomial.we use power optionsgiven polynomial option pricing formula(Theorem3.9).

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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