波动率服从Markov链的亚式期权定价

Asian Option Pricing with Volatility Following Markov Chain

在亚式期权定价方法中,对常数波动率进行改进,引入服从Markov链的随机波动率,得到该模型下期权价格为各随机状态波动率下价格的加权和.

The constant volatility models is improved in the asian option pricing method.The volatility following a Markov chain is introduced,and for the asian option with volatility following Markov chain,its price is the weighted price of each state of the volatility.