收稿日期: 2013-11-20
修回日期: 2014-04-29
网络出版日期: 2015-01-15
基金资助
Supported by National Natural Science Foundation of China (10901161)
Risk-neutral pricing for geometric average Asian options with floating strike
Received date: 2013-11-20
Revised date: 2014-04-29
Online published: 2015-01-15
Supported by
Supported by National Natural Science Foundation of China (10901161)
曹桂兰 , 王勇 . 浮动敲定价格几何平均亚式期权的风险中性定价[J]. 中国科学院大学学报, 2015 , 32(1) : 13 -17 . DOI: 10.7523/j.issn.2095-6134.2015.01.003
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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