Journal of Jishou University(Natural Sciences Edition)

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Pricing of Alternative Options with Constant Parameters

LI Yizhuo,LIU Lixia   

  1. (College of Mathematics and Information Science,Hebei Normal University,Shijiazhuang 050024,Hebei China)
  • Online:2018-03-25 Published:2018-04-28


Considering the pricing formula of the better-of-two call option and worse-of-two option based on the logarithmic rate of return in the constant parameters,we  transform the realistic probability measure into the risk neutral probability measure,and then obtain its analytical pricing formula through the direct calculation.

Key words: constant parameter, logarithmic rate of return, alternative options, measure transformation, pricing

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