几何平均亚式期权定价模型及其VaR计算  

Geometric Average Asian Option Pricing Model and the VaR Calculation

作　　者：胡攀[1] 

机构地区：[1]四川文理学院数学与财经学院,四川达州635000

出　　处：《西华师范大学学报（自然科学版）》2015年第4期345-349,354,共6页Journal of China West Normal University(Natural Sciences)

基　　金：四川文理学院2014年度面上项目(2014Z009Y)

摘　　要：针对现实世界中存在的模糊性,在标的股票价格服从几何Liu过程的模型假设下,给出了几何平均亚式看涨、看跌期权的定价模型及其VaR计算公式.数值计算的结果表明,随机条件下的期权价值与VaR值完全被低估.In view of the fuzziness existing in the real world, the geometric average Asian call and put options pricing models are given under the assumption of the underlying stock price by geometric Liu process, and the VaR calculation methods of the geometric average Asian call and put options are also given. Numerical calculation results show that under the condition of random option,value and the VaR value are underrated completely.

关 键 词：几何Liu过程 模糊环境 定价模型 VAR计算 

分 类 号：F830.9[经济管理—金融学]