带跳过程的亚式期权的定价(英文)

ACCURATE PRICING FORMULAS FOR ASIAN OPTIONS WITH JUMPS

本文研究了固定敲定价格亚式期权的定价问题.利用Chen和Lyuu[1]的近似分析,获得了完备市场下亚式期权下界的精确表达,推广了文献[4]中的结果到非时齐Poisson跳的广义Black-Scholes模型中,本文模型更符合实际市场规律.

In the paper, we study fixed-strike Asian options pricing. By the methods of approximate analysis in Chen and Lyuu [1], we derived the lower bound formulas for the Asian options in the complete market, that extend the result in [4] to the general Black-Scholes models with non-homogeneous Poisson jumps. Models in this paper are more practical.