关于亚式期权投资策略的研究

A Study of Asian Option Investment Policies

针对连续情形下亚式期权中几何平均资产价格看涨期权,运用Black-Scholes期权定价理论,讨论了关于亚式期权两种不同投资策略的收益和风险之间的关系,并继续采用文献[7]所述的30只股票收盘价的数据进行实证分析,最后将实证分析所得结果与文献[7]所得结果进行了比较.

Based on the option pricing theory of Black - Scholes and focused on a lasting rising geometric average asset price in Asian option, this article discusses the relationship between the profit and risk of 2 Asian option investment policies, and gives further positivist analysis on the closing price data of 30 shares mentioned in Document 7. In the end, a comparison between the result of positivist analysis and that of Document 7 is offered.