基于分数O—U随机过程的新型亚式期权的定价  

PRICING OF NEW TYPE ASIAN OPTIONS WITH FRACTIONAL O-U PROCESS

作　　者：彭大衡[1] 姚元端[1] 

机构地区：[1]湖南大学数学与计量经济学院,湖南长沙410079

出　　处：《经济数学》2005年第1期36-41,共6页Journal of Quantitative Economics

基　　金：The author gratefully acknowledges supports from NNSF of China(NO.A32462);NNSF of Hunan nuiversity(2003).

摘　　要：本文运用衍生证券理论的最基本原理(△对冲和无套利原理) ,研究了一种新型亚式期权的定价问题,该类型期权因具有常数平均值久期而不同于标准化情形.假设标的资产(气温)由分数Ornstein-Uhlenbeck过程驱动,这样假设对天气衍生品来说是合理的.本文得到了这种新型亚式期权的动态定价方程.By using basic building blocks of derivatives theory:delta hedging and no arbitrage,this paper studies the price of Asian options with constant average duration which is differ from plain vanilla ones and the underlying assets(temperature)are assumed to be driven by fractional Ornstein-Uhlenbeck process which is reasonable for weather derivatives.Dynamic pricing equation is obtained.

关 键 词：亚式期权 定价模型 随机过程 衍生证券 无套利 

分 类 号：F830.91[经济管理—金融学] O211.6[理学—概率论与数理统计]