| 连续情形下平均执行价格期权的定价公式 |
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| 引用本文： | 李立亚.连续情形下平均执行价格期权的定价公式[J].重庆工学院学报,2007(11). |
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| 作者姓名： | 李立亚 |
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| 作者单位： | 湖北第二师范学院数学与计量经济系 武汉430060，武汉科技大学理学院，武汉430070 |
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| 摘 要： | 介绍了亚式期权的涵义,给出了一个强路径依赖型期权的B-S模型,利用该模型得到了在连续情形下具有浮动敲定价格的几何平均亚式期权(平均执行价格期权)定价公式,同时对公式进行了证明.
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| 关 键 词： | 几何平均 亚式期权 Black-Scholes公式 |
Pricing Formula of Average Exercise Price Options in a Continuous Situation |
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| LI Li-ya.Pricing Formula of Average Exercise Price Options in a Continuous Situation[J].Journal of Chongqing Institute of Technology,2007(11). |
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| Authors: | LI Li-ya |
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| Affiliation: | LI Li-ya1,2 |
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| Abstract: | This paper introduces the meanings of Asian options,gives the uniform Black-Scholes Model of strong path-dependent options,gets the pricing formula of a geometric average Asian option with floating strike price by making use of the uniform Black-Scholes Model of a strong path-dependent option,and proves the formula. |
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| Keywords: | geometric average Asian option Black-Scholes formula |
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