离散时间亚式期权定价模型的研究与推广

A research and deduce on asian option pricing model in discrete time periods

利用二阶矩法研究离散时间亚式期权定价模型,得到期权价格的表达式,并采用极限法,推出连续时间平均价格亚式期权定价的结论.本文还进行了应用分析,最后简单描述了期权价格与相关变量之间的关系.

Asian option pricing model in discrete time periods was studied with the method of quadratic matrix. And the formul as of option value was deduced. We got the conclusion was, under the influence of limit,the pricing Asian option with average value in continuous time periods. There was an analysis about the application, the relations of option value and related variables were simply described by figures at last.