摘要
介绍了亚式期权的涵义,给出了一个强路径依赖型期权的B-S模型,利用该模型得到了在连续情形下具有浮动敲定价格的几何平均亚式期权(平均执行价格期权)定价公式,同时对公式进行了证明.
This paper introduces the meanings of Asian options, gives the uniform Black-Scholes Model of strong path-dependent options, gets the pricing formula of a geometric average Asian option with floating strike price by making use of the uniform Black-Scholes Model of a strong path-dependent option, and proves the formula.
出处
《重庆工学院学报》
2007年第21期86-90,共5页
Journal of Chongqing Institute of Technology
