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- Title
The pricing formula of multi-stage causal compound option.
- Authors
LIU Ming-yue; RONG Yue-tang; ZHANG Lu
- Abstract
According to the continuity of multi-stage venture capital, assumed the changes in the interest rate follow continuous-time geometric Brownian motion, based on the dynamic-arbitrage free-balanced a-nalysis option's pricing, the model of multi-stage causal compound option with the impact of the interest rate is established in this paper. And by using the theory and method of partial differential equations, the option pricing model' pricing formula is obtained.
- Subjects
ARBITRAGE pricing theory; MATHEMATICAL formulas; OPTIONS (Finance); VENTURE capital; WIENER processes; MATHEMATICAL models; PARTIAL differential equations
- Publication
Basic Sciences Journal of Textile Universities / Fangzhi Gaoxiao Jichu Kexue Xuebao, 2012, Vol 25, Issue 2, p188
- ISSN
1006-8341
- Publication type
Article