[1]刘国祥,陈 波,翁 琴.B-S推广模型的亚式期权定价[J].南京师范大学学报(自然科学版),2011,34(01):6-11.
 Liu Guoxiang,Chen Bo,Weng Qin.On Asian Option Pricing for Generalized Model of Black-Scholes Model[J].Journal of Nanjing Normal University(Natural Science Edition),2011,34(01):6-11.
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B-S推广模型的亚式期权定价()
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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34卷
期数:
2011年01期
页码:
6-11
栏目:
数学
出版日期:
2011-03-20

文章信息/Info

Title:
On Asian Option Pricing for Generalized Model of Black-Scholes Model
作者:
刘国祥1 陈 波2 翁 琴3
1. 南京师范大学数学科学学院, 江苏南京210046) 2. 江苏教育学院数学与信息技术学院, 江苏南京210013 3. 招商银行, 江苏江阴214431
Author(s):
Liu Guoxiang1Chen Bo2Weng 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
关键词:
B lack-Scho les 亚式期权定价 测度变换
Keywords:
B lack-Scho les A sian option pr ic ing m easure transfo rm s
分类号:
F830.91;F224
摘要:
分别假设金融资产为有连续红利支付和波动率是随机的股票,得到相应的亚式看涨期权的定价公式和算术平均亚式期权价格的上界.
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

参考文献/References:

[ 1] M erton R C. Option pric ing w hen underly ing stock re turns a re d iscontinuous[ J]. Journa l of F inanc ia l Econom ics, 1976, 3: 125-144.
[ 2] Le land H E. Option pric ing and replication w ith transaction costs[ J]. Journa l o f F inance, 1985, 40: 283-1301.
[ 3] H ansj rg A lbrecher, M a rtin Predo ta. On A sian op tion pr ic ing fo rN IG L?vy processes[ J]. Journal of Com puta tiona l and AppliedM athema tics, 2004, 172: 153-168.
[ 4] M acbeth J D. Test of Black-Scho les and Cox call option va luation m odels[ J] . Journa l o f F inance, 1980, 35: 285-301.
[ 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.
[ 6] H u ll J, Wh ite A. Effic ient procedures fo r v alu ing European and Am er ican path-depedent option [ J]. Journa l of Der ivatives, 1993, 1: 21-31.
[ 7] Vecer J, XuM. Pric ing asian options in a sem im artinga le mode l[ J]. Quant F inan, 2004, 4( 2): 170-175.

相似文献/References:

[1]陈 波,刘国祥,石燕燕.Merton推广模型的算术平均亚式期权定价[J].南京师范大学学报(自然科学版),2010,33(04):23.
 Chen Bo,Liu Guoxiang,Shi Yanyan.Pricing of Arithmetic Average Asian Options Based on Generalized Merton Model[J].Journal of Nanjing Normal University(Natural Science Edition),2010,33(01):23.

备注/Memo

备注/Memo:
通讯联系人: 刘国祥, 副教授, 研究方向: 权证定价理论及实证. E-mail:gxliu63@ 163. com
更新日期/Last Update: 2013-04-11