PRICES OF ASIAN OPTIONS UNDER STOCHASTIC INTEREST RATES  

随机利率下亚式期权的定价模型(英文)

作　　者：张曙光 袁水勇 王莉君 

机构地区：[1]Department of Statistics and Finance, University of Science and Technology of China, Anhui 230026, China [2]Department of Mathematics, Tongji University, Shanghai 200092, China.

出　　处：《Applied Mathematics(A Journal of Chinese Universities)》2006年第2期135-142,共8页高校应用数学学报（英文版）（B辑）

基　　金：SupportedbytheNationalNaturalScienceFoundationofChina(10201029).

摘　　要：Asian options are the popular second generation derivative products and embedded in many structured notes to enhance upside performance.The embedded options,as a result,usually have a long duration.The movement of interest rates becomes more important in pricing such long-dated options.In this paper,the pricing of Asian options under stochastic interest rates is studied.Assuming Hull and White model for the interest rates,a closed-form formula for geometric-average options is derived.As a by-product,pricing formula is also given for plan-vanilla options under stochastic interest rates.Asian options are the popular second generation derivative products and embedded in many structured notes to enhance upside performance. The embedded options, as a result, usually have a long duration. The movement of interest rates becomes more important in pricing such long-dated options. In this paper, the pricing of Asian options under stochastic interest rates is studied. Assuming Hull and White model for the interest rates,a closed-form formula for geometric-average options is derived. As a by-product ,pricing formula is also given for planvanilla options under stochastic interest rates.

关 键 词：Asian option stochastic interest rate Hull and White model. 

分 类 号：F224[经济管理—国民经济]