摘要
本文研究算术平均的欧式亚式期权.我们将充分利用偏微分方程的Fichera理论和边值问题的定解理论,求出了一个简单的近似解析表达式.经实际数据验算,有较满意的逼近结果,特别地,在部分区域内的计算效果好于文章[1].
This paper studies the pricing continuously sampled arithmetic average Asian options with fixed strike price. We derive an analytical approximate formula by using the Fich 6 ra theory in PDE. The accuracy can be examined by some real data and the result is satisfied. Especially, in certain region, our result is more accurate than the one in article [1].
出处
《应用数学与计算数学学报》
2004年第2期8-14,共7页
Communication on Applied Mathematics and Computation
基金
本课题由上海市教育委员会E-研究院建设计划项目E03004国家自然基金项目NSF10371088资助.
