| 基于离散几何平均的亚式期权定价研究 |
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| 引用本文： | 洪义成,金元峰,李美善.基于离散几何平均的亚式期权定价研究[J].延边大学理工学报,2015,0(3):199-202. |
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| 作者姓名： | 洪义成 金元峰 李美善 |
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| 作者单位： | 1.延边大学理学院 数学系, 吉林 延吉 133002; 2.延边大学财务处, 吉林 延吉 133002 |
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| 摘 要： | 讨论了离散情形下几何平均亚式期权的定价方法.首先对离散情形下的几何平均进行处理,然后利用标准欧式期权的定价公式得到了固定执行价格离散几何平均亚式期权的定价公式,最后利用鞅论的方法得到了浮动执行价格离散几何平均亚式期权的定价公式.
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| 关 键 词： | 亚式期权 几何平均 期权定价 |
The method of pricing Asian options based on the discrete geometric average |
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| HONG Yicheng,JIN Yuanfeng,LI Meishan.The method of pricing Asian options based on the discrete geometric average[J].Journal of Yanbian University (Natural Science),2015,0(3):199-202. |
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| Authors: | HONG Yicheng JIN Yuanfeng LI Meishan |
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| Affiliation: | 1.Department of Mathematics, College of Science, Yanbian University, Yanji 133002, China; 2.Department of Finance, Yanbian University, Yanji 133002, China |
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| Abstract: | In this paper, we discussed pricing method of the geometric average Asian option in the discrete case. Firstly, we transform the geometric average into proper form, and then using Vanilla call and put option pricing formula and martingale method to get the closed form solution of fixed strike and floating strike Asian option with geometric average assets prices in a discrete situation, respectively. |
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| Keywords: | Asian option geometric average option pricing |
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