模糊环境下几何平均亚式期权的保险精算定价

The Actuarial Pricing of Geometric Average Asian Options under Fuzzy Environment

在标的股票价格服从几何Liu过程的模型假设下,首先利用保险精算法给出几何平均亚式看涨、看跌期权的定价公式;其次,讨论了定价公式关于各参数的单调性和凹凸性;最后,用所建模型计算煤层气开发项目的增长期权价值,为煤层气项目的价值评估提供了一种新的思路和方法.

In the process of the underlying stock price follows geometric Liu model assumptions, the geometric average Asian call and put options pricing formula are given by using of actuarial method; Secondly, the monotonicity and convex- concave of the parameters in the model are discussed; Finally, the growth option value of CBM development project is calculated by using the model, it provides a new thought and method for the value of CBM project assessment.