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摘要: 在支付红利的情况下, 考虑了两值期权CONC和AONC, 计算了其离散时间方差最优对冲策略, 给出其显式表达式. 并由此给出欧式看涨期权的最优对冲策略. 最后, 给出分红的预测例子.Abstract: This paper explicitly computed the variance-optimal hedging strategy in discrete time for binary options and European call option on Dividend-paying Stock. An example of prediction of dividend was given.
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Key words:
- binary optionEuropean call optionhedgingmartingale /
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