不确定环境下的亚式期权定价研究
Research on Asian Option Pricing in Uncertain Environment
DOI: 10.12677/ORF.2021.111010, PDF,    科研立项经费支持
作者: 路继勇*, 孟祥波*：天津科技大学，理学院，天津；孙艳美：天津科技大学，经济与管理学院，天津
关键词: 亚式期权；浮动利率；不确定敲定价格；Asian Option； Floating Interest Rate； Uncertain Strike Price
摘要: 利率和敲定价格是影响衍生品价格的主要因素，经常会受到经济、政策等不确定因素的影响而产生波动。基于不确定理论，在浮动利率环境下，研究了敲定价格服从不确定指数O-U过程下的亚式期权的定价问题，得到了亚式看涨期权和亚式看跌期权的定价公式，并通过数值模拟分析了不同参数对价格的影响。
Abstract: Interest rate and strike price are the main factors affecting the price of derivatives, which are often fluctuated by uncertain factors such as the economics and policies. Based on the uncertainty theory, the pricing of Asian options whose strike price follows the uncertain exponential Ornstein-Uhlenbeck process under the floating interest rate environment is studied. The pricing formulas of the Asian call option and Asian put option are obtained, while also we analyze the influence of different parameters including the maturity date, such as initial strike price on the price by the numerical simulation.
文章引用：路继勇, 孙艳美, 孟祥波. 不确定环境下的亚式期权定价研究[J]. 运筹与模糊学, 2021, 11(1): 75-80. https://doi.org/10.12677/ORF.2021.111010

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