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浮动敲定价格几何平均亚式期权的风险中性定价(英文) 被引量：3

Risk-neutral pricing for geometric average Asian options with floating strike
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摘要 亚式期权是一种回报与一段时期内资产平均价格相关的期权.以计价单位变换为工具,由风险中性定价方法推导具有浮动敲定价格的离散和连续几何平均亚式期权的价格公式. Asian options are path dependent contingent claims whose terminal payoff depends on the average of underlying asset price over some period prior to maturity. Using change of numeraire as a tool, we illustrate how to derive price formulae for the discrete and continuous geometric average Asian options with floating strike price by risk-neutral valuation approach.
作者 曹桂兰 王勇
机构地区 中国科学院大学数学科学学院
出处 《中国科学院大学学报（中英文）》 CAS CSCD 北大核心 2015年第1期13-17,共5页 Journal of University of Chinese Academy of Sciences
基金 Supported by National Natural Science Foundation of China(10901161)
关键词 亚式期权 浮动敲定价格 风险中性定价 计价单位变换 Asian options floating strike price risk-neutral pricing change of numeraire
分类号 O211.63 [理学—概率论与数理统计]
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参考文献11

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同被引文献17

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中国科学院大学学报（中英文）
2015年 第1期

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