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On Asian Option Pricing for Generalized Model of Black-Scholes Model(PDF)

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

Issue:
2011年01期
Page:
6-11
Research Field:
数学
Publishing date:

Info

Title:
On Asian Option Pricing for Generalized Model of Black-Scholes Model
Author(s):
Liu Guoxiang1; Chen Bo2; Weng Qin3
1.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210046,China 2. School ofM athem atics and In form ation Techno logy, J iangsu Inst itute of Educat ion, Nanj ing 210013, Chin a 3. Ch inaM erch ants Bank, Jiangyin 214431, Ch ina
Keywords:
B lack-Scho les;  A sian option pr ic ing;  m easure transfo rm s
PACS:
F830.91;F224
DOI:
-
Abstract:
Assum ed that the financia l asset is stock w ith consecutive capita l bonus rate or sto chastic vo latility, the paper gets the co rresponding pr ic ing of the Asian ca ll option and the uppe r bound of arthme tic averag eA sian option prices

References:

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[ 5] Sim on S, GoovaertsM J, Dhaene J. An easy com putable upper bound for the price o f an a rithm eticAsian op tion[ J]. M athem a tics and E conom ics, 2000, 26: 175-183.
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Last Update: 2013-04-11