离散算术平均亚式期权定价的一个注记  

A Remark on the Pricing Problem for Discrete Arithmetic Average Asian Options

作　　者：吴方 

机构地区：[1]安徽师范大学数学计算机科学学院,安徽芜湖

出　　处：《应用数学进展》2015年第2期112-116,共5页Advances in Applied Mathematics

基　　金：安徽省自然科学基金(1408085MA01)。

摘　　要：本文研究离散采样的算术平均亚式期权的定价。首先给出Curran解析定价公式及其证明,然后分析该公式和Nielsen解析定价公式的差别与优缺点。In this paper, we investigated the pricing for arithmetic average Asian options of discrete sampling. Curran analytical pricing formula and its demonstration were given, and then differences and the advantages and disadvantages between Curran analytical pricing formula and Nielsen analytical pricing formula were analyzed.

关 键 词：亚式期权 算术平均亚式期权 期权定价 

分 类 号：F2[经济管理—国民经济]