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Equivalence of Asian Options in Lévy Model(PDF)

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

Issue:
2008年02期
Page:
37-40
Research Field:
数学
Publishing date:

Info

Title:
Equivalence of Asian Options in Lévy Model
Author(s):
Zang Aiqin1; Yang Jilong2
1.Dongfang School,Jiangsu Teacher’s University of Technology,Changzhou 213001,China
2. School ofMathem atics and Com puter S cien ce, Nan jing Norm alUn iversity, Nan jing 210097, Ch ina
Keywords:
Asian options;  L?vy process;  random m easure;  equ iva lence
PACS:
F224;F830.9
DOI:
-
Abstract:
It was proved that Po ssion random m easures are a lso Po isson random m easures under a change o f exponential m artingale m easure. And by using the theorem and G irsanov theorem , a symme try re la tionsh ip betw een floating strike and fixed strike Asian options was proved as the r isk asset St was deno ted by the so lution of dS t = St- [ μdt+ σdBt + ?R 0 K ( x ) ?N ( dt, dx ) ].

References:

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[ 2] V icky H enderso, Ra fa l W o jakow sk.i On the equ iva lence of floa ting and fixed str ike A sian options[ J]. App lied Propab ility, 2002, 39: 391-394.
[ 3] V e%ce%r J. U nified As ian pr ic ing[ J] . R isk, 2002, 15( 6): 113-116.
[ 4] V ecer J, XuM. Pr ic ing As ian options in a sem im arting a lem ode l[ J] . Quan t F inan, 2004, 4( 2): 170-175.
[ 5] 黄伯强, 杨纪龙, 马树建. L vy 过程驱动下的欧式期权定价和套期保值[ J]. 南京师范大学学报: 工程技术版, 2007,7( 1): 78-84.
[ 6] Dav id App lebaum. L vy Pro cess and Stochastic Ca lcu lus[M ]. Camb ridg e: C am br idge Un iv ersity Press, 2004.

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Last Update: 2013-05-05