摘要
假设股票价格波动率服从对数正态分布,在此随机波动率模型下,利用等价鞅测度变换,得到了最小等价鞅测度下固定执行价格的几何平均亚式期权定价公式,并讨论了其近似解的求法.
Assuming that the stock price volatility obey the lognormal distribution,under the stochastic volatility model,using the equivalent martingale measure transformation,the geometric average Asian option pricing formula is derived under the minimum equivalent martingale measure,and the approximate solution are discussed.
出处
《沈阳大学学报（自然科学版）》
CAS
2014年第6期510-513,共4页
Journal of Shenyang University：Natural Science
关键词
随机波动率
几何平均
亚式期权
固定执行价格
stochastic volatility
geometric average
Asian options
fixed strike price
