欧式加权几何平均价格亚式期权定价

Asian Option Pricing of European Weighted Geometric Average Value

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.