Pricing of security investment products

被引：0

作者：

Liang J. ^{[1
]}

Kong L. ^{[1
]}

Ma J. ^{[2
]}

机构：

[1] Department of Mathematics, Tongji University

[2] Department of Applied Mathematics, Shanghai University of Finance and Economics

来源：

Tongji Daxue Xuebao/Journal of Tongji University | 2010年 / 38卷 / 10期

关键词：

Black-Scholes model; Early exercise condition; Guarantee clause; Partial differential equation; Security investment products;

D O I：

10.3969/j.issn.0253-374x.2010.10.028

中图分类号：

学科分类号：

摘要：

Based on Black-Scholes Model, the pricing of SIPs was investigated with PDE method. With the double-factor model, a pricing model for the SIPs was established with an earlier exercise condition according to hedging techniques and Ito Lemma. And the numerical solution was obtained with the difference method. The value of the liquidity was analyzed by comparing the models with or without the early open condition. Finally, a case study was made of Guangda SIP. The roles the model in pricing and its limits were discussed as well.

引用

页码：1550 / 1555

页数：5