張玉林　李亞瓊　羅漢

摘 要 假設(shè)市場是完備的，在文中使用了計(jì)價(jià)單位變換，等價(jià)鞅測度理論和無套利原理研究了股票價(jià)格具有時(shí)滯的歐式擇好期權(quán)，得到了歐式擇好期權(quán)的定價(jià)公式和對沖交易策略.

關(guān)鍵詞 股票價(jià)格；時(shí)滯；擇好期權(quán)；等價(jià)鞅測度

中圖分類號(hào) 62P05 文獻(xiàn)標(biāo)識(shí)碼 A

Abstract Assuming that the markets are complete， we use the changes of numeraire， the theory of equivalent martingale measure and noarbitrage property to study the pricing of European betterof options for stock prices with delay. In conclusion， we derive a closedform representation of the option price， and hedging strategy.

Key words stock prices， delay， betterof options， equivalent martingale measure.

1 Introduction

The advent of BlackScholes[1] option pricing model has brought a revolutionary change for the financial industry. Firstly， the return volatility needed to be assessed， when we use the BlackScholes formula to price the stock options. However， options pricing has been questioned under the assumption of the constant volatility， since empirical evidence shows that volatility actually depends on time in a way that is not predictable. For example， Bollerslev[2] found that the volatility was not a constant， besides， the changes of stock return volatility could be more accurately described and predicted by using the GARCH model. So the need for better ways of understanding the behavior of many natural processes has motivated the development of dynamic models of these process. The concept of stochastic volatility model was introduced by Hull and White[3]，and subsequent development includes the work of Wiggns[4]，Johnson and Shannon[5] and Scott[6].On the other hand， some studies found that the rate of change of stock price depends on past prices， such as Christie[7]，Akgiray[8] and Sheinkman and LeBaron[9]. Hobson and Roger[10] suggested a new class of nonconstant volatility models， and the volatility can be regarded as an endogenous factor in the sense that it is defined in terms of the past behavior of the stock price. Furthermore， some scholars began to study the pricing of options for stock price with delay. Kind et al.[11] obtained a diffusion approximation result for processes satisfying some equations with pastdependent coefficients， and they applied the result to a model.of option pricing ， in which the underlying asset price volatility depends on the past evolution to get a generalized Black and Scholes formula. Chang and Yoree[12] studied the pricing of an European contingent claim for the （B，S）securities markets with a hereditary price structure in the sense that the rate of change of the unit price of bond account and rate of change of the stock account S depend not only on the current unit price but also on their historical prices， but the unit price of bond account was not stochastic. Kazmerchuk et al.[13] derived an analogue of BlackScholes formula for vanilla call option value in the market with stock price having timedelay in the diffusion term， and compared the results with the results of classical BlackScholes. Arriojas et al.[14]proposed a model for the diffusion term and drift term with delays， which was sufficiently flexible to fit real market. They also developed an explict formula for pricing European options when the underlying stock price with delay. Basing on the research frameworks of Kazmerchuk et al. and Arriojas et al.， Yaqiong Li and Lihong Huang[15， 16]further expanded to study for option pricing model with dividendpaying stock， and derived option pricing formula for the payment of continuous dividends and discrete dividends.endprint

Although many scholars have studied the option pricing problem with delay， their studies were limited to the options pricing on only one risky asset. However， there are many multiasset financial derivatives in real market， such as Exchange options， Better（Worse） of options， Outer performance options， and Quanto options etc. So， in this paper we specially studied the pricing of Betterof options as an application on the basis of establishing the theory of options pricing for two risky assets with delays.

Many studies show that the models of stock prices with delays are more realistic， so the option pricing formula is meaningful with delay. Besides， the pricing ideas and methods that we used to study the Betterof options with delays， have a reference value for studying other multiasset options pricing.

References

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