一键式双屏障二元期权值

Urban Economics & Regional Studies (Forthcoming) Pub Date : 1996-08-01 DOI:10.1080/096031096334141

C. Hui

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引用次数: 34

摘要

介绍了一键式双障碍二元期权的估值及应用，该二元期权具有淘汰、敲入、欧式和美式的特点。利用传统的布莱克-斯科尔斯期权定价环境，导出了期权的解析解。讨论了不同类型的单触双障二元期权之间的关系。投资者对外汇、股票或商品的价值有特定的看法，可以在金融市场上使用期权作为定向交易或结构性产品。

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One-Touch Double Barrier Binary Option Values

The valuation and applications of one-touch double barrier binary options that include features of knock-out, knock-in, European and American style are described. Using a conventional Black-Scholes option-pricing environment, analytical solutions of the options are derived. The relationships among different types of one-touch double barrier binary options are discussed. An investor having a particular view on values of foreign exchanges, equities or commodities can use the options as directional trades or structured products in financial market.

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来源期刊

Urban Economics & Regional Studies (Forthcoming)

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