摘要
考虑到经典的Black-Scholes(B-S)期权定价模型不能描述资产价格的长相依性和跳跃现象,用混合高斯和带跳模型描述标的资产价格的变动过程.首先,得到了几何平均亚式幂期权价格所满足的数学模型.其次,分别获得了几何平均亚式看涨和看跌幂期权的定价公式.最后,讨论了参数对期权价格的敏感性.
Considering that the classical Black Scholes(B-S)option pricing model can not describe the long-term dependence and jump phenomenon of asset prices.Firstly,Gaussian mixture and jump model are be used to describe the change process of underlying asset price.Secondly,the mathematical model of geometric average Asian power option price and the pricing formulas of geometric average Asian power options are respectively obtained.And lastly,the sensitivity of parameters to option price are also discussed.
作者
丁毅
郭精军
DING Yi;GUO Jing-jun(School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020, China)
出处
《西南师范大学学报（自然科学版）》
CAS
2021年第7期16-25,共10页
Journal of Southwest China Normal University(Natural Science Edition)
基金
国家自然科学基金项目(71561017,71961013)
甘肃省科技计划项目(20JR5RA204)
兰州财经大学科研创新团队支持计划项目.
关键词
次分数布朗运动
跳扩散
几何平均亚式幂期权
Itō公式
sub-fractional Brownian motion
jump diffusion
geometric average Asian power option
Itōformula
