An Efficient Method for Measuring Path Dependence Intensity of Options

摘要：

Based on the value sensitivity of options to their underlyings and corresponding treaty clauses, this paper poses a measuring method of path dependence intensity, which breaks the setup where the path dependence intensity was only classified roughly and which becomes a deep study on path-dependent options. Then, analyzes its feasibility and instructions, discusses its application to comparison of path dependence intensity of sorts of options.

关键词： The Value Sensitivity Options Path Dependence Intensity Measurement Improvement

作者: SHEN Chuanhe LIU Zhongwen

作者单位: Department of Economics and Management, Shandong University of Science and Technology, Taian, Shando School of Economics and Management, Shandong University of Science and Technology, Tsingtao, Shandon

会议类型: 国际会议

会议名称: 2008年国际应用统计学术研讨会(2008 International Institute of Applied Statistics Studies)

会议地点: 烟台

会议语种:英文

页码: 1-6

在线出版日期: 2008-08-14（万方平台首次上网日期，不代表论文的发表时间）