几何平均亚式期权定价方法的探析  

An Investigation on Pricing Methods of the Geometric Average Asian Options

作　　者：肖文宁[1] 王杨[1] 张寄洲[1] 

机构地区：[1]上海师范大学数理信息学院,上海200234

出　　处：《应用数学》2005年第2期253-259,共7页Mathematica Applicata

基　　金：上海市自然科学基金(03ZA14072)

摘　　要：本文对几何平均亚式期权不同的定价方法进行了详细的论述,从随机偏微分方程途径与概率论途径两个角度仔细描述了亚式期权定价的过程中,每个具体的主要演算步骤.本文采用几何平均法计算资产价格的平均值,并以连续时间的情形为例,用两种不同的方法得到几何平均亚式期权的解析定价公式,并通过比较得出两种结论是完全一致的.In this paper,a detailed investigation are given on th e different pricing methods of the geometric average asian options.Every deduction reasoning procedure in both stochastic partial differential equation approach a nd probabilistic approach are described detailedly.This paper calculates the ave rage valuation of assets by the geometric average method.Under the situation of continuous time,analytic pricing formula of the geometric average asian options are obtained through two different methods.And these two conclusions are complet ely consistent.

关 键 词：对数正态分布 亚式期权 几何平均 固定敲定价格 

分 类 号：O29[理学—应用数学] F224[理学—数学]