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Issue:
LOOKBACK OPTIONS PRICING WHEN PARAMETERS DEPEND ON STOCK PRICE
Author(s):
LI Zhi-guang
Pages:
1091
-
1099
Year:
2012
Issue:
6
Journal:
Journal of Mathematics
Keyword:
布朗运动
;
期权定价
;
修正的Black-Scholes模型
;
回望期权
;
Abstract:
本文研究了非线性模型下回望期权定价问题.利用泰勒近似处理,构造了回望期权的形式渐进解,推广了Black-Scholes模型有关回望期权的结论.
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