依赖时间参数的几种有固定执行价格的亚式期权定价  

Several Time-Dependent Parameters Fixed Exercise Price Asian Option Pricing

作　　者：朱利芝[1] 余君武[1] 

机构地区：[1]湖南科技大学数学与计算科学学院,湘潭411201

出　　处：《数学理论与应用》2012年第2期14-19,共6页Mathematical Theory and Applications

摘　　要：本文在假定标的资产模型依赖时间参数(即无风险利率,标的资产的期望收益率,波动率及红利率),利用已建立的亚式期权定价模型,讨论了上限型期权、抵付型期权、双向型期权等,得到相应的期权定价解析公式.In the paper, the time - dependent parameters of the underlying asset, i. e. the riskless interest rate, expected rate of return of the underlying asset,volatility and dividend yield are considered, the use of the Asian option pricing model has been established to discuss Capped calls, Deductible Calls, Asset - or - Nothing and Bi - direction options etc, we obtain the corresponding option pricing analytic formula.

关 键 词：亚式期权 上限型期权 抵付型期权 欧式双向期权 

分 类 号：F830[经济管理—金融学] O211.67[理学—概率论与数理统计]