Study on Pricing Look Back Option with Bonus under the CEV Model

摘要：

　　Black-Scholes model has solved European option pricing in efficient market successfully.But it is established in a certain hypothesis conditions.However,in the reality of transactions,investors will get in a certain stock dividend.Based on the Black-Scholes model on the basis of the CEV model in the kind of a dividend of look back option pricing problem,then drive the model of continuous dividend look back option pricing of differential equation.

关键词： Black-Scholes model continuous dividend look back option pricing

作者: ZHENG Xiaoyang PANG Baoquan

作者单位: College of Science,Harbin engineering university,Harbin,China,150001

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 575-577

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）