市场流动性影响下的亚式期权近似定价  

Approximate Pricing of Asian Options with Market Liquidity Risk

作　　者：曹圣云 李鹏 CAO Sheng-yun;LI Peng(College of Mathematics and Statistics,North China University of Water Resources and Electric Power,Zhengzhou 450046,China)

机构地区：[1]华北水利水电大学数学与统计学院,河南郑州450046

出　　处：《兰州文理学院学报（自然科学版）》2024年第1期1-8,共8页Journal of Lanzhou University of Arts and Science(Natural Sciences)

摘　　要：将具有固定执行价格的亚式期权转换为欧式期权,从近似解的角度考虑算数平均和几何平均的亚式期权在流动性影响下的定价问题.引入贴现因子对流动性进行建模,利用傅里叶变换推导出流动性影响下的亚式期权无穷级数形式的近似定价公式,最后通过数值实验验证了近似公式解的高效性、准确性等性质.This paper converts Asian options with fixed strike prices into European options,and considers the pricing problem of arithmetic average and geometric average Asian options under the influence of liquidity from the perspective of approximate solutions.The discount factor is introduced to model the liquidity,and the Fourier transform is used to derive the approximate pricing formula of the infinite series form of Asian options under the influence of liquidity.Finally,the efficiency and accuracy of the approximate formula solution are verified by numerical experiments.

关 键 词：亚式期权 流动性风险 贴现因子 傅里叶变换 特征函数 

分 类 号：O29[理学—应用数学] F224.9[理学—数学]