具有浮动执行价的远期生效幂亚式期权定价（英文）  

Pricing Forward-Starting Power Asian Options with Floating Strike Price

作　　者：薛广明 邓国和 

机构地区：[1]广西财经学院信息与统计学院,广西南宁530003 [2]广西师范大学数学与统计学院,广西桂林541004

出　　处：《应用数学》2017年第4期916-926,共11页Mathematica Applicata

基　　金：Supported by the Natural Sciences Foundation of China(11461008);the Open Project Program of the Center on Economic Prediction and Decision-making of Guangxi(2015YBKT16);Scientific Research Development Fund of Young Researchers of Guangxi University of Finance and Economics(2017QNB07)

摘　　要：本文研究具有浮动执行价的远期生效幂亚式期权的定价问题.利用鞅方法,首先推导出浮动执行价的远期生效幂亚式几何平均看涨期权价格的显示公式.随后,利用方差减少技术,以此幂亚式几何看涨期权价格公式作为控制变量建立浮动执行价的远期生效幂亚式算术平均看涨期权价格计算的蒙特卡罗模拟算法,获得浮动执行价的远期生效幂亚式期权的定价结果.最后,应用数值实例,分析模型主要参数,时间窗框和幂因子等因素异动时对该类期权价格的影响.计算结果,带控制变量的模拟方法能有效地解决幂亚式期权的定价,以及幂因子对期权价格的影响有显著性作用.This paper considers the pricing problem of forward-starting power Asian option with floating-strike price. We provide a closed-form solution for the price of the forward-starting power Asian call option on geometric average. We show overwhelming numerical evidence that the variance reduction technique with the help of the above closed-form solution dramatically improves the accuracy of the simulated price of a forward-starting power Asian call option on arithmetic average. We also discuss the effects of the model parameters, the average time window and power numbers on option prices applying the numerical examples. Numerical results show that the impacts of the power numbers on option prices have significance.

关 键 词：远期生效幂亚式期权 蒙特卡罗模拟 方差减少技术 浮动执行价 

分 类 号：O156.1[理学—数学]