摘要
给出了标的资产服从混合分数跳-扩散过程的几何平均亚式期权定价的解析解.运用广义Ito引理和自融资交易策略得到混合分数布朗运动下带跳的几何平均亚式期权定价的偏微分方程模型.结合边值条件,通过求解该偏微分方程得到亚式期权定价的解析解.通过数值试验,讨论各定价参数对期权价值的影响.本文推广了一些已有的结论,所得结果更贴近实际金融市场.
This paper mainly studied the geometric average Asian option pricing on the condition that the underlying asset followed mixed jump-fraction process. The general It6's lemma and the self-financing dynamic strategy were obtained by using the partial differential equation of such option pricing in the mixed fractional environment with jump. With the combination of boundary condition, an analytic formula for the geometric average Asian option was derived by solving the partial differential equation. The numerical experiments were showed to discuss the influence of different parameters on the option value. The results were the generalization of some existing results which was closer to the real financial market.
出处
《华东师范大学学报(自然科学版)》
CAS
CSCD
北大核心
2017年第3期29-38,共10页
Journal of East China Normal University(Natural Science)
基金
中央高校基本科研业务费专项资金(2013XK03)
关键词
混合分数跳.扩散过程
几何平均亚式期权
偏微分方程
mixed jump-fraction process
geometric average Asian option
partial differential equation