摘要
在市场无套利的假设下,讨论了B-S模型的一般情形.研究了具有固定敲定价格的几何型亚式期权在任意有效时刻的定价问题.利用鞅分析方法得出了几何型亚式期权在任意有效时刻定价的解析表达式,并由此得出其看涨看跌平价公式.
Based on the hypothesis that market is non-arbitrage, the generalized case of the Black-Scholes is discussed. This paper studies the pricing on Asian geometric average options with fixed strike price at any valid time. Using the method of equivalent measure and martingale, we draw the price formula of the Asian geometric average options at any valid time. Furthermore, the analytical expression of the Asian geometric average options pricing and call-put parity relation are derived.
出处
《哈尔滨理工大学学报》
CAS
北大核心
2010年第1期80-82,共3页
Journal of Harbin University of Science and Technology
基金
国家自然科学基金项目(10771046)
黑龙江省教育厅科学技术研究项目(11511092)
关键词
几何型亚式期权
鞅方法
测度变换
Asian geometric average options
the method of martingale
equivalent measure
