Martingale Pricing of the European Up-and-In Calls Under the Models of Stock Price Fluctuation
(1.Hunan Financial and Economic College,Changsha 410081，China;2.College of Mathematics and Computer Science,Hunan Normal University,Changsha 410081,China)
[1] CHARLES J CORRADO,SU Tie．Implied Volatility Skewness and Stock Index Skewness and Kurtosis Implied by S&P 500 Index Option Prices [J]．The Journal of Derivatives，1997,4(4)：8-19.[2] 吴文锋，吴冲锋．股票价格波动源模型探讨 [J]．系统工程理论与实践，2000,(4)：63-69.[3] JOHN C HULL．Options,Futures,and Other Derivatives [M]．北京：清华大学出版社，2001.[4] BLACK F,SCHOLES M．The Pricing of Options and Corporate Liabilities [J]．Journal of Political Econcmy,1973，81：637-659.[5] 洛伦兹·格利茨著.唐旭译．金融工程学 [M]．北京：经济科学出版社，1998.[6] 陈松男.金融工程学 [M]．上海：复旦大学出版社，2002.
