[1]臧爱琴,杨纪龙.Lévy模型下亚式期权的等价关系[J].南京师范大学学报(自然科学版),2008,31(02):37-40.
 Zang Aiqin,Yang Jilong.Equivalence of Asian Options in Lévy Model[J].Journal of Nanjing Normal University(Natural Science Edition),2008,31(02):37-40.
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Lévy模型下亚式期权的等价关系()
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《南京师范大学学报》(自然科学版)[ISSN:1001-4616/CN:32-1239/N]

卷:
第31卷
期数:
2008年02期
页码:
37-40
栏目:
数学
出版日期:
2008-06-30

文章信息/Info

Title:
Equivalence of Asian Options in Lévy Model
作者:
臧爱琴1 杨纪龙2
( 1. 江苏技术师范学院东方学院, 江苏常州213001)
( 2. 南京师范大学数学与计算机科学学院, 江苏南京210097 )
Author(s):
Zang Aiqin1Yang 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
关键词:
亚式期权 Lvy过程 随机测度 等价关系
Keywords:
Asian options L?vy process random m easure equ iva lence
分类号:
F224;F830.9
摘要:
证明了泊松随机测度在指数鞅测度变换下仍是泊松随机测度,并利用该结论及勾舍诺夫定理证明了当风险资产价格St满足方程dSt=St-[μdt+σdBt+∫R0K(x)(dt,dx)]时浮动执行价与固定执行价的亚式期权之间的等价关系.
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 ) ].

参考文献/References:

[ 1] E rnst Eber le in, Anton is Papapanto leon. Equiva lence o f floating and fixed str ike A sian and lookback option[ J].S tochastic Process and The ir App lica tions , 2005, 115: 31-40.
[ 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.

备注/Memo

备注/Memo:
通讯联系人: 杨纪龙, 副教授, 研究方向: 随机积分和期权定价. E-m ail:yangj ilong@ n jnu. edu. cn
更新日期/Last Update: 2013-05-05