分数型几何平均亚式期权的保险精算定价

An Actuarial Approach to Geometric Average Asian Options in a Fractional Brownian Motion

在Mogens Bladt和Tina Haviid Rydberg无市场完备假设的条件下,仅利用价格过程实际概率的期权保险精算定价模型基础,得出了标的资产价格服从几何分数布朗运动的几何平均亚式期权定价公式,最后通过计算说明了Hurst参数对几何平均亚式看涨、看跌期权价值的影响.

Without any market assumptions,Mogens Bladt and Tina Haviid Rydberg use merely probability measure of price process and actuarial consideration for pricing options.Based on their work,this paper obtains Geometric Average Asian Options pricing formula when underlying assets are driven by Geometric Fractional Brownian Motion.then,we illuminate the effect of Hurst Parameter impact on Geometric Average Asian call or put Option to calculate the case.