摘要
假定标的资产价格模型中的参数为时间t的函数(即无风险利率r(t),标的资产的期望收益率μ(t),波动率σ(t)及红利率g(t)),利用风险中性定价及随机积分的性质,得到连续几何平均欧式亚式期权在六种情形下价格的解析公式和一个平价关系,且通过调整执行价格的形式而得到固定执行价格的连续算术平均欧式亚式期权的渐进公式.
This paper provides six analytical price formulas and one put_call parity for continuous geometric_average European Asian options using risk_neutral valuation and properties of stochastic integral when the price of underlying asset follows the model with time_dependent parameters, i.e. time_dependent riskless interest rate r(t), and risk asset has time_dependent expected rate of return μ(t), volatility σ(t) and pays time_dependent dividend yield (g(t)). By adjusting the form of strike price, approximated formulas for fixed_strike continuous arithemtic_average Asian options are also obtained.
出处
《管理科学学报》
CSSCI
2004年第6期24-29,36,共7页
Journal of Management Sciences in China
关键词
亚式期权
风险中性定价
平价关系
几何平均
算术平均
Asian options
risk_neutral valuation
put_call parity
geometric_average
arithmetic_average
