关于亚式期权及其定价模型的研究

A Study on Asian Option and Its' Pricing Model

本文首先剖析了亚式期权的主要特征和价值生成机理。然后，利用无套利 原理，创建了能够反映亚式期权路径依赖特征的多因素定价模型，并针对 亚式期权的不同品种──平均价格型期权和平均执行价格型期权的定价 分别进行了讨论。

This paper analyses the origin and characteristics of Asian option. Used Noarbitrage principle,the multi-factors pricing model is derived which corresponds to the path-dependent characteristic of Asian option. Further more, the pricing of two kinds of Asian option,i. e. average rate option and average strike option,are discussed at the end of the paper.