Strategic Study of CAE >> 2004, Volume 6, Issue 12
Study on Down Knock-in Renewal Option Pricing
1. Jiangsu Financial Leasing Co. , LTD. , Nanjing 210018, China
2. Southeast University, Nanjing 210009, China
Next Previous
Abstract
In this paper, firstly, the basic connotation of modern leasing and the basic principle of real option are dissertated. Then, the down knock-in renewal option pricing model and its solution are put forward. At last, example is provided.
Keywords
leasing ; renewal ; leasing option ; real option ; down knock-in option
References
[ 1 ] 陆世敏, 李晓洁.现代租赁[M ].上海:上海译文出版社, 2003 link1
[ 2 ] 茅 宁.期权分析———理论与应用[M ].南京:南京大学出版社, 2000 link1
[ 3 ] BlackF , ScholesM .The pricingofoptionsandcorporateliabilities[J].JournalofPoliticalEconomy, 1973, 81:637~659
[ 4 ] 方 曙, 武振业.实物期权理论及其在企业决策中的应用[J].科学管理研究, 2001, 19:42~46 link1
[ 5 ] DixitKV , PindyckRS .Theoptionapproachtocapitalinvestment[J].HarvardBusinessReview, 1995, 73 (3) :105~114
[ 6 ] AmramM , KulatilakaN .RealOptions:ManagingStrategicInvestmentinanUncertaintyWorld[M ].HarwardBusinessSchoolPress, 1998
[ 7 ] GeraldWBJr, AlbertDJ.Thepricingofembeddedoptionsinrealestateleasecontracts[J].JournalofRealEstateResearch, 1996, (2) :253~263
[ 8 ] AdamsAT , BoothPM , MacgregorBD .Leaseterms, optionpricingandthefinancialcharacteristicsofproperty[J].RealEstateFinanceandInvestmentResearchPaper, No2001.02
[ 9 ] 泽夫·司曲斯.随机微分方程理论与应用[M].钮晓鸣译.上海:上海科学技术文献出版社, 1996
[10] 宋逢明.金融工程原理———无套利均衡分析[M ].北京:清华大学出版社, 1999 link1
[11] CostabileM .Adiscrete timealgorithmforpricingdoublebarrieroptions[J].DecisionsinEconomicsandFinance, 2001, (24) :49~58
[12] MohantySG .LatticePathCountingandApplications[M].NewYork:AcademicPress, 1979
[13] BoylePP , LauSH .Bumpingupagainstthebarrierwiththebinomialmethod[J].TheJournalofDerivatives, 1994, (1) :6~14