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中国科学院大学学报 ›› 2015, Vol. 32 ›› Issue (1): 13-17.DOI: 10.7523/j.issn.2095-6134.2015.01.003

• 数学与物理学 • 上一篇    下一篇

浮动敲定价格几何平均亚式期权的风险中性定价

曹桂兰, 王勇   

  1. 中国科学院大学数学科学学院, 北京 100049
  • 收稿日期:2013-11-20 修回日期:2014-04-29 发布日期:2015-01-15
  • 通讯作者: 王勇
  • 基金资助:

    Supported by National Natural Science Foundation of China (10901161)

Risk-neutral pricing for geometric average Asian options with floating strike

CAO Guilan, WANG Yong   

  1. School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing 100049, China
  • Received:2013-11-20 Revised:2014-04-29 Published:2015-01-15
  • Supported by:

    Supported by National Natural Science Foundation of China (10901161)

摘要:

亚式期权是一种回报与一段时期内资产平均价格相关的期权.以计价单位变换为工具,由风险中性定价方法推导具有浮动敲定价格的离散和连续几何平均亚式期权的价格公式.

关键词: 亚式期权, 浮动敲定价格, 风险中性定价, 计价单位变换

Abstract:

Asian options are path dependent contingent claims whose terminal payoff depends on the average of underlying asset price over some period prior to maturity. Using change of numéraire as a tool, we illustrate how to derive price formulae for the discrete and continuous geometric average Asian options with floating strike price by risk-neutral valuation approach.

Key words: Asian options, floating strike price, risk-neutral pricing, change of numé, raire

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