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《Journal of Anqing Normal University(Natural Science Edition)》 2018-02
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Pricing and Application of Product Options with Time-dependent Parameters

LIU Jiayue;LI Cuixiang;College of Mathematics and Information Science, Hebei Normal University;  
Assuming that the asset price of the option follow the geometric Brownian motion, in which the drift rate and the volatility of the asset are nonrandom functions of time. In this paper, we give the pricing formula of product option by using the integral method. Then we obtain the pricing formula of foreign domestic options and company's revenue options using this formula.
【Fund】: 国家自然科学基金(11401159)
【CateGory Index】: F830.9
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