Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Journal of Shanghai Jiaotong University》 2009-04
Add to Favorite Get Latest Update

Pricing Futures Contract Considering Reserve Margin Based on Lookback Option Model

HUANG Wei,LIU Hai-long(Financial Engineering Research Center,Shanghai Jiaotong University,Shanghai 200052,China)  
The path dependence of the reserve margin is the same with lookback option.This paper developed the reserve margin model according the lookback option model,and then got the number of the reserve margin with short or long position.On the other hand,the reserve margin is necessary to the practical arbitrage operation.So the new no-arbitrage bound model was built considering the reserve margin factor.At last,an example with China copper futures contract was given.
【CateGory Index】: F713.35;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 10 Hits
1 XUE Hong, PENG Yu cheng (1 Faculty of Science,Xian Jiaotong University,Xi’an 710049; 2 Dept.of Math.of Xinyang Teacher College,Xinyang 464000);Applications of Martingale Method in Pricing of Contingent Claim[J];CHINESE JOURNAL OF ENGINEERING MATHEMATICS;2000-03
2 LIU Shao-yue, YANG Xiang-qun (School of Mathematics and Computational Science, Xiangtan University, Xiangtan 411105; College of Mathematics and Computer Science, Hunan Normal University, Changsha 410081);Pricing of Compound Option in a Fractional Brownian Motion Environment[J];Chinese Journal of Engineering Mathematics;2006-01
3 Zheng Xiaoying;Chen Jinxian;A Study on Asian Option and Its' Pricing Model[J];SYSTEMS ENGINEERING;2000-02
4 By ZHENG Xiao ying,CHEN Jin xian(Management School of Xi'an Jiaotong University,Xi'an 710049);A Study on Option Pricing with Transaction Costs[J];Journal of Industrial Engineering and Engineering Management;2001-03
5 Ye Xiaoqing Jian Ming Wu Yonghong Ye Xiaoqing Postgraduate; Dept. of Mathematics, Huazhong Univ. of Sci. & Tech., Wuhan 430074, China.;An actuarial approach to Asian option pricing[J];Journal of Huazhong University of Science and Technology;2005-03
6 Liu Shaoyue 1,2 Yang Xiangqun1 (1.Department of Mathematics, Hunan Normal University, Changsha, 410081; 2.Department of Mathematics, Xiangtan University, Xiangtan, 411105);PRICING OF EUROPEAN OPTION ON DIVIDEND-PAYING STOCK IN A FRACTIONAL BROWNIAN MOTION ENVIRONMENT[J];Mathematics In Economics;2002-04
7 Zhao Dianli(College of Science,Shanghai University of Science & Technology,Shanghai,200093);PRICING OF EUROPEAN POWER OPTIONS IN MULTIDIMENSIONAL FRACTIONAL BROWN MOTIONS ENVIRONMENT[J];Mathematics in Economics;2007-01
8 Wang Xu;Xue Hong(School of Science,Xi'an Polytechnic University,Xi'an 710048,China);American Call Option Pricing Method in Fractional Brownian Motion Environment[J];Value Engineering;2007-11
9 Peng Shige (Dept. of Math., Shandong Univ., Jinan, Shandong, 250100);The Backward Stochastic Differential Equations and Its Application[J];ADVANCES IN MATHEMATICS;1997-02
10 XU Cheng-long, Wu Kai-le (Department of Applied Mathematics,Tongji University,Shanghai 200092,China);Fourier Method for Pricing European Lookback Options with General Payoff Function[J];Journal of Tongji University;2005-07
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved