跳扩散模型中亚式期权的定价

Valuation of Asian Options in a Jump-diffusion Model

本文研究一类跳扩散模型中亚式期权的定价问题 ,得到了关于算术平均亚式期权的一个简单而统一的算法 ,并用偏微分方程的技巧将其定价问题归结为一个与路径依赖量无关的一维积分

This paper considers the problem of pricing Asian opt io ns in a jumpdiffusion model.We provide a simple and unifying approach for pric ing arithmetic average Asian options and get an onedimensional integrodiffer ential equation without pathdependency.