摘要
本文在概率测度空间中,对亚式期权定价进行研究,考虑股票价格服从布朗运动,浮动执行价格服从It^o过程的两资产相关模型中,得出等价鞅测度下亚式期权的定价公式.
On the probability measure space for Asian Option Pricing study,we conside the stock price follows Brown motion and floating exercise price follows It^o process during the two assets related model,to obtain Asian options pricing formula under the equivalent martingale measure.
出处
《南华大学学报（自然科学版）》
2013年第3期43-45,共3页
Journal of University of South China：Science and Technology
基金
衡阳市科技局基金资助项目(2012KJ17)
关键词
浮动执行价格
亚式期权
两资产相关
鞅定价
floating execution price
Asian options
two related assets
martingale pricing
