摘要
引入几何Brown运动对标的资产的价格进行建模,在Black Scholes环境下,给出欧式加权几何平均价格亚式期权封闭形式的解析定价公式。
Based on the theory of option valuation, target asset price is modeled with a geometric Brownian motion. Under the Black-Scholes environments, this paper presents a closed form analytic pricing formula to price Asian option for European weighted geometric average.
出处
《重庆工学院学报》
2004年第1期44-46,共3页
Journal of Chongqing Institute of Technology