| 几何型亚式期权定价中的鞅方法 |
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| 引用本文： | 柳洪恩,孔繁亮.几何型亚式期权定价中的鞅方法[J].哈尔滨理工大学学报,2010,15(1):80-82. |
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| 作者姓名： | 柳洪恩 孔繁亮 |
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| 作者单位： | 哈尔滨理工大学,应用科学学院,黑龙江,哈尔滨,150080 |
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| 基金项目： | 国家自然科学基金项目，黑龙江省教育厅科学技术研究项目 |
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| 摘 要： | 在市场无套利的假设下,讨论了B-S模型的一般情形.研究了具有固定敲定价格的几何型亚式期权在任意有效时刻的定价问题.利用鞅分析方法得出了几何型亚式期权在任意有效时刻定价的解析表达式,并由此得出其看涨看跌平价公式.
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| 关 键 词： | 几何型亚式期权 鞅方法 测度变换 |
The Method of Martingale in Asian Geometric Average Option Pricing |
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| LIU Hong-en,KONG Fan-liang.The Method of Martingale in Asian Geometric Average Option Pricing[J].Journal of Harbin University of Science and Technology,2010,15(1):80-82. |
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| Authors: | LIU Hong-en KONG Fan-liang |
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| Affiliation: | (School of Applied Science, Harbin University of Science and Technology, Harbin 150080, China) |
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| Abstract: | Based on the hypothesis that market is non-arbitrage, the generalized case of the Black-Scholes is discussed. This paper studies the pricing on Asian geometric average options with fixed strike price at any valid time. Using the method of equivalent measure and martingale, we draw the price formula of the Asian geometric average options at any valid time. Furthermore, the analytical expression of the Asian geometric average options pricing and call-put parity relation are derived. |
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| Keywords: | Asian geometric average options the method of martingale equivalent measure |
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