| 非风险中性意义下亚式期权的定价模型 |
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| 引用本文： | 朱海燕. 非风险中性意义下亚式期权的定价模型[J]. 淮海工学院学报, 2010, 19(2): 8-11 |
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| 作者姓名： | 朱海燕 |
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| 作者单位： | 连云港师范高等专科学校数学与应用数学系,江苏,连云港,222006 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 亚式期权在到期日的收益依赖于整个期权有效期内原生资产价格的平均值,包括算术平均和几何平均两种.近年来,实际应用中多用算术平均,但很难求得其精确的解析表达式.运用概率的方法,对非风险中性意义下支付红利的几何平均亚式期权的定价模型进行了研究,并给出了该亚式期权的解析表达式.该模型在风险中性意义下包含了原始的Black-Scholes模型所推导的几何平均亚式期权的定价公式.
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| 关 键 词： | 对数正态分布 几何平均 亚式期权 |
Pricing Model of the Geometric Average Asian Options with No Risk-neutral Valuation |
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| ZHU Hai-yan. Pricing Model of the Geometric Average Asian Options with No Risk-neutral Valuation[J]. Journal of Huaihai Institute of Technology:Natural Sciences Edition, 2010, 19(2): 8-11 |
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| Authors: | ZHU Hai-yan |
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| Affiliation: | ZHU Hai-yan(Dept. of Mathematics and Applied Mathematics,Lianyungang Normal College,Lianyungang 222006,China) |
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| Abstract: | The terminal payoffs of the Asian options depend on the average price for the underlying assets over the whole life of the option,including the arithmetic average and the geometric average. Recently the arithmetic average method is widely used in practice,but it is not easy to obtain its exact pricing formula. This paper derives the pricing model of the geometric average Asian options on dividend-paying assets with no risk-neutral valuation by the method of probability,which includes the original Black-Scholes pricing model of the geometric average Asian options in the sense of the risk-neutral one. |
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| Keywords: | logarithmic normal distribution geometric average Asian option |
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