摘要
亚式期权是一种强路径依赖齐全,在市场无套利的假设下,利用测度变换和鞅方法,使几何平均亚式期权定价的求解过程更加简化,并运用推广的Clark公式,给出了其套期保值策略。
s:Based on the hypothesis of the market being non-arbitrage, using the methods of changing measure and martingale, this paper simplifies the solving process of the asian option pricing with geometric averaging, by a generalized clark formula , and the hedging strategy is derived.
出处
《合肥学院学报(自然科学版)》
2005年第2期9-12,共4页
Journal of Hefei University :Natural Sciences