期权期货及其他衍生品第八版25章奇异期权完整版

1、rTceA AKST)0 ,max(),max(AAKSTTddTTqrKSddNeSdNeKdNeKdNeSqTrTrTqT12220110212110)2()ln()()( put Gap)()(call Gap011SScEerT。则远期生效期权价值为已知，且和又因为：望值。代表风险中性世界中期其中，11,)()(010qTTqrceeSSEScE)();,();,(212122221110122aNKeTTbaMeKTTbaMeSrTrTqT11211201,)2(*)/ln(TaaTTqrSSa212222201,)2()/ln(TbbTTqrKSb);,(baM)();,();,(

2、212111021222122aNKeTTbaMeSTTbaMeKrTqTrT)();,();,(212111021222122aNKeTTbaMeSTTbaMeKrTqTrT)();,();,(212122221110122aNKeTTbaMeKTTbaMeSrTrTqT),max(pc)(12TTqrKe), 0max(),max(),max(1)()()(1)(122212SKeeceSKeccpcTTqrTTqTTqTTr)(2TTqe)()()()(102210dNeSdNKepdNKedNeScqTrTrTqTTdTTqrKSdTTqrKSd1202201)2()/ln()2()/

3、ln()()()()(220200TyNSHKeyNSHeScrTqTdiTTKSHyqr)(ln20222didoccc)()()()()()(2201200110TyNSHKeyNSHeSTxNKeexNScrTqTrTqTdododicccTTSHyTTKSx)/ln()/ln(02010uoc)()()()()()()()(12201200110TyNTyNSHKeyNyNSHeSTxNKeexNScrTqTrTqTuiuiuocccccui)()()()(220200TyNSHKeyNSHeSprTqTui)()()()()()(12201200110TyNSHKeyNSHeSTxN

4、KeexNSprTqTrTqTuououipppuiuoppp0dop)()()()()()()()(12201200110TyNTyNSHKeyNyNSHeSTxNKeexNSprTqTrTqTdididopppppdimTHe/5826. 0mTHe/5826. 0)(2dNQerT)(2dNQerT)(2dNQerT)(2dNQerT)(10dNeSqT)(10dNeSqT)(10dNeSqT)()(2)()()(2)(322min120101aNeqraNeSaNqreSaNeSYrTqTqT2min0212min03122min01)/ln()2(2)2()/ln()2()/ln(S

5、SqrYTTqrSSaTaaTTqrSSa)()()(2)()(2)(20220321max2bNeSbNqreSbNeqrbNeSqTqTYrT20max2120max31220max1)/ln()2(2)2()/ln()2()/ln(SSqrYTTqrSSbTbbTTqrSSb)(), 0max(KSSST), 0max(aveSK ), 0max(aveSK ), 0max(aveTSS ), 0max(TaveSS30)(1)(1STqreMTqr2)(222022220)(22)(21)(2)22)(22qreqrTqrSTqrqrSeMTqrTqr10MF 2122ln1MMT0,max2121KtttStSaveS其中，其中， Save是正在取平均的剩余时期内的资产是正在取平均的剩余时期内的资产平均价格。它等于下式：平均价格。它等于下式：0*,max212KStttaveSttKtttK21221*22*1212rtrteKeMttt)0 ,max(TTUV )()(2010dNeUdNeVTqTqUVVUVUVUTddTTqqUVd2)2()/ln(22122001)0 ,max(),max()0 ,max(),min(TTTTTTTTTTUVU