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分期付款回望期权定价Installment return option pricing.pdf 55页

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分期付款回望期权定价Installment return option pricing
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: : : : : 2007 , , . . , , . , . , . , , , , . , . Black-Scholes , , . : , . Black-Scholes , . . Black-Scholes , . , Kim , . Kim , (EIE), , , Newton-Raphson , . . , . Kim , (EIE), , , Newton-Raphson , . . . , , I Valuation for Lookback Options Embedded with Installment Paying Postgraduate: zhou jing Supervisor: Deng Guohe Specialty: Probability Theory and Mathematical Statistics Research Fields: Financial Engineering Grade: 2007 Abstract Option is a contract signed by the seller and the buyer, which gives the holder a right but no a obligation to buy or sell the underlying asset by a certain date in the future for a certain price. Option pricing problem has become an important research topic in financial engineering. It is well known that the conventional option product is that when the buyer pays the seller all the money today he can acquires the right to exercise the option at the option maturity date. When the holder chooses the option exercising date only on the expiration date, the option is called a European-style. When the holder chooses the option exercising date at any time up to the expiration date, the option is called an American-style. Today there exists a traded contract embedded with installment paying on exchanges in which the buyer pays a smaller up-front pre- mium and then a constant stream of installments at a certain rate per unit time. The buyer has the ri

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