标题:
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
作者:
吴方
关键字:
亚式期权, 算术平均亚式期权, 期权定价Asian Option, Arithmetic Average Asian Option, Option Pricing
期刊名称:
《Advances in Applied Mathematics》, Vol.4 No.2, 2015-05-07
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.