A Note on Look-Back Options Based on Order Statistics
A Note on Look-Back Options Based on Order Statistics
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关于基于订单统计的回顾选项的注释
DOI：
10.15057/5748
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发表时间：
1992
期刊：
影响因子：
--
通讯作者：
Ryozo Miura
中科院分区：
文献类型：
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作者：
Ryozo Miura
平均值选项和最小值（或最大值）选项是众所周知的回顾选项。在本文中，我们定义了新的回望期权，它使用的顺序统计量的股票价格的执行价格和/或潜在的变量的选项。这里得到了定价所需的顺序统计量的概率分布。虽然我们还没有得出这些期权的定价公式，但我们已经接近了，还需要做些什么来定价将被指出。
Average options and minimum (or maximum) options are well-known look-back options. In this paper we define new look-back options which use the order statistics of the stock prices for the exercise prices and/or for the underlying variables of the options. The probability distributions of the order statistics which are required for pricing are obtained here. Though we have not yet reached the pricing formula of these options, we are close to it. What is left to be done for pricing will be pointed out.