摘要
幂期权和亚期权是两种新型期权,而幂式亚期权是二者的统一.由幂期权和亚期权概念引出幂式亚期权定义,对连续时间的几何平均型幂式亚期权的定价公式进行了推导,并得到了其解析解.
Power options and Asian options are two new types of options, while power-Asian options are their composition. The definition of power-Asian options is drawn forth from the concepts of power options and Asian options. Deduction is made to the pricing formula for geometric average-rate power-Asian options at a stretch, and the analytic solution is found out.
出处
《徐州建筑职业技术学院学报》
2006年第2期39-41,共3页
Journal of XUZHOU Institute of Architectural Technology
关键词
幂期权
亚期权
幂式亚期权
期权定价
power options
Asian options
power-Asian options
option pricing
