journal6 ›› 2006, Vol. 27 ›› Issue (3): 23-26.

• Mathematics • Previous Articles     Next Articles

Martingale Pricing of the European Up-and-In Calls Under the Models of Stock Price Fluctuation


  1. (1.Hunan Financial and Economic  College,Changsha 410081,China;2.College of Mathematics and Computer Science,Hunan Normal University,Changsha 410081,China)
  • Online:2006-05-25 Published:2012-09-11

Abstract: Under the models of stock price fluctuation the author gets the pricing formula of the European Up-and-In Calls by means of Martingale approach (risk-neutral valuation),especially,the pricing formula under the models of lognormal distribution.

Key words: barrier option, martingale measure, models of stock price fluctuation, risk-neutral valuation, Girsanov&rsquo, s theory

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