The ESRDB Asian- float Option and Its Pricing Model

摘要：

Barrier options are probably the oldest path-dependent options and Asian options are securities with payoff, which depend on the average of the underlying stock price over an interval of certain time. This paper presents a new type option named ESRD barrier-Asian option. The new type option is a hybrid of them which has exponential square root double barrier, and it can provide uniform protection for both the writer and the holder throughout the life time in the risk-neutral world. This paper also gives a pricing model of the ESRDB Asian-float option in the risk-neutral world.

关键词： Barrier Options ESRDB Asian-float Option Risk-neutral.

作者: Zhai Zhenjie Dong FenYi

作者单位: College of Information and Management Science, Henan Agricultural University, Zhengzhou, P.R.China,450002

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）