AAM  >> Vol. 4 No. 2 (May 2015)

    离散算术平均亚式期权定价的一个注记
    A Remark on the Pricing Problem for Discrete Arithmetic Average Asian Options

  • 全文下载: PDF(299KB) HTML   XML   PP.112-116   DOI: 10.12677/AAM.2015.42015  
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作者:  

吴 方:安徽师范大学数学计算机科学学院,安徽 芜湖

关键词:
亚式期权算术平均亚式期权期权定价Asian Option Arithmetic Average Asian Option Option Pricing

摘要:

本文研究离散采样的算术平均亚式期权的定价。首先给出Curran解析定价公式及其证明,然后分析该公式和Nielsen解析定价公式的差别与优缺点。

In this paper, we investigated the pricing for arithmetic average Asian options of discrete sampling. Curran analytical pricing formula and its demonstration were given, and then differences and the advantages and disadvantages between Curran analytical pricing formula and Nielsen analytical pricing formula were analyzed.

文章引用:
吴方. 离散算术平均亚式期权定价的一个注记[J]. 应用数学进展, 2015, 4(2): 112-116. http://dx.doi.org/10.12677/AAM.2015.42015

参考文献

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