[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].南京师大学报(自然科学版),2010,33(04):23-27.
　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(04):23-27.
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Merton推广模型的算术平均亚式期权定价()
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《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

卷:
第33卷
期数:
2010年04期
页码:
23-27
栏目:
数学
出版日期:
2010-12-20

文章信息/Info

Title:
Pricing of Arithmetic Average Asian Options Based on Generalized Merton Model
作者:
陈 波1;  刘国祥2;  石燕燕3
1. 江苏教育学院数学与信息技术学院, 江苏南京210013 2. 南京师范大学数学科学学院, 江苏南京210097 3. 富登投资信用担保有限公司, 江苏南京210008
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
关键词:
M erton模型;  亚式期权定价;  L?vy过程;  随机波动率
Keywords:
M erton m ode ; l Asian option pricing;  L?vy processes;  stochastic vo latility
分类号:
O211.67
摘要:
假设金融资产价格服从Lévy过程且波动率是随机的,利用鞅方法、测度变换以及Lévy过程的方法,得到具有固定敲定价格的算术平均亚式看涨期权在任何有效时刻的价格公式.
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.

参考文献/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.

相似文献/References:

[1]刘国祥,陈 波,翁 琴.B-S推广模型的亚式期权定价[J].南京师大学报(自然科学版),2011,34(01):6.
　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(04):6.

备注/Memo

备注/Memo:
通讯联系人: 陈 波, 讲师, 研究方向: 权证定价理论及实证. E-mail:pbchb@ yahoo. com. cn
更新日期/Last Update: 2013-04-08