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《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:

2010年04期

Page:

23-27

Research Field:

数学

Publishing date:

Info

Title:

Pricing of Arithmetic Average Asian Options Based on Generalized Merton Model

Author(s):

Chen Bo¹; Liu Guoxiang²; Shi Yanyan³

1.School of Mathematics and Information Technology,Jiangsu Institute of Education,Nanjing 210013,China 2. S chool ofM athem atical S ciences, Nan jing N orm alUn ivers ity, Nan jing 210097, China 3. Fu llerton In vestm en t& C red itGuaran tee C om pany, Nan j ing 210008, China

Keywords:

M erton m ode ; l Asian option pricing;  L?vy processes;  stochastic vo latility

PACS:

O211.67

DOI:

-

Abstract:

In th is paper, w e assum ed the pr ice of the financ ia l asset is a L?vy processes and the vo latility is stochastic. By using them ethod o fm artinga le, the transform o f them easure, and L?vy processes, w e conduce the pr ic ing of the call arithm etic ave rage asian option at any va lid tim e when the str ike pr ic ing is fixed.

References:

[ 1] Vecer J, XuM. Pr ic ing Asian options in a sem im artinga lem odle[ J]. Quant Finan, 2004, 4( 2): 170-175.
[ 2] E rnst Eber le in, Antonis Papapanto leon. Equivalence o f floa ting and fix ed str ike A sian and lookback option [ J]. Stochastic Process and The irApp lications, 2005, 115( 2) : 31-40.
[ 3] V icky H enderso, Rafa lW o jakow sk.i On the equ iva lence o f floating and fix ed strike Asian options[ J]. App lied Propab ility, 2002, 39( 5): 391-394.
[ 4] Ta rrow R, Rudd A. Approx im ate option for arb itary sto chastic processes[ J]. F inanc ia l Econom, 1990, 14( 11): 113-129.
[ 5] L?vy E. Pr icing European average rate currency options[ J]. InternatM oney Finance, 1992, 11( 3): 474-491.
[ 6] Turm bu ll S, W akem an L. A qu ick algorithm for pr icing European average option[ J]. F inanc ia lQuan t, 1992, 1( 1): 179-193.

Memo

Memo:

-

Common functions

Last Update: 2013-04-08