| 跳跃-扩散模型下亚式期权的定价 |
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| 引用本文： | 张静,何春雄,郭艾,刘文涛.跳跃-扩散模型下亚式期权的定价[J].系统工程,2010(12). |
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| 作者姓名： | 张静 何春雄 郭艾 刘文涛 |
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| 作者单位： | 华南理工大学理学院; |
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| 基金项目： | 教育部人文社会科学基金规划项目(07JA630048) |
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| 摘 要： | 研究不完备市场中,当标的资产的价格出现不连续跳跃时,亚式期权的定价问题。推导出当标的资产的价格服从跳跃-扩散过程时,具有固定敲定价格算术平均亚式期权的价格下界公式,并通过数值计算验证了该下界公式可以近似作为亚式期权的定价公式。
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| 关 键 词： | 亚式期权 定价公式 价格下界 跳跃-扩散 |
Pricing Asian Option under the Jump-diffusion Model |
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| ZHANG Jing,HE Chun-xiong,GUO Ai,LIU Wen-tao.Pricing Asian Option under the Jump-diffusion Model[J].Systems Engineering,2010(12). |
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| Authors: | ZHANG Jing HE Chun-xiong GUO Ai LIU Wen-tao |
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| Affiliation: | ZHANG Jing,HE Chun-xiong,GUO Ai,LIU Wen-tao(School of Science,South China University of Technology,Guangzhou 510640,China) |
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| Abstract: | In this paper,we study the pricing of Asianoption in incomplete market as the price of underlying asset varieswith discontinuous jump.When the price of underlying asset follows ajump-diffusion process,we derive the lower-bound formula of pricefor arithmetic average Asian option with fixed strike price. Numerical calculation result confirms that the lower-bound formula can be used approximately as Asian option pricingformula by numerical calculation. |
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| Keywords: | Asian Option Pricing Formula Lower-bound Formula of Price Jump-diffusion |
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