摘要
研究不完备市场中,当标的资产的价格出现不连续跳跃时,亚式期权的定价问题。推导出当标的资产的价格服从跳跃-扩散过程时,具有固定敲定价格算术平均亚式期权的价格下界公式,并通过数值计算验证了该下界公式可以近似作为亚式期权的定价公式。
In this paper,we study the pricing of Asianoption in incomplete market as the price of underlying asset varieswith discontinuous jump.When the price of underlying asset follows ajump-diffusion process,we derive the lower-bound formula of pricefor arithmetic average Asian option with fixed strike price. Numerical calculation result confirms that the lower-bound formula can be used approximately as Asian option pricingformula by numerical calculation.
出处
《系统工程》
CSSCI
CSCD
北大核心
2010年第12期96-99,共4页
Systems Engineering
基金
教育部人文社会科学基金规划项目(07JA630048)
关键词
亚式期权
定价公式
价格下界
跳跃-扩散
Asian Option
Pricing Formula
Lower-bound Formula of Price
Jump-diffusion
