摘要
在标的资产价格遵循对数正态扩散过程的假设下,研究如何把几何平均亚式期权推广到多资产期权的方法.运用等价鞅测度变换方法导出与汇率相关的几何平均亚式交换期权的定价公式.
The method of how to expand the geometric average Asian option to multiple assets option is studied on the hypothesis of the underlying assets price following the logarithmic normal diffuse processes. By applying equivalent martingale measure transformation within the framework of the model, we derive the pricing formula of the geometric Asian exchange option related with exchange rate.
出处
《福州大学学报（自然科学版）》
CAS
CSCD
北大核心
2007年第5期685-688,共4页
Journal of Fuzhou University(Natural Science Edition)
关键词
几何平均
汇率
交换期权
geometric average
exchange rate
exchange option
