分数布朗运动环境下亚式期权定价的新方法

A New Method for Asian Option Pricing in Fractional Brownian Motion

本文考虑分数布朗运动环境下几何平均型亚式期权定价问题,给出了一种基于可靠性数学思想的期权定价的新方法.首先,通过It o公式推导出亚式期权所满足的概率密度转移函数.其次,类比可靠性数学中求平均寿命的方法,用无套利定价方法给出了分数布朗运动环境下几何平均型亚式看涨期权定价公式.结果表明该方法同样适用于其它类型欧式期权.

This paper considers the pricing problem of the geometric average Asian option.A new method is proposed to solve the option pricing problem based on reliability mathematics.Firstly,the probability density transfer function for the Asian option is given by It o’s formula.Then,according to the method of solving the life expectancy in the reliability mathematics,the price explicit expression of the geometric average Asian option is obtained.Conclusion indicates our methods are also applicable to other type’s European option.