| 屏蔽数据情形下几何平均亚式期权定价模型 |
| |
| 引用本文： | 董艳,贺兴时. 屏蔽数据情形下几何平均亚式期权定价模型[J]. 数学的实践与认识, 2012, 42(22): 229-234 |
| |
| 作者姓名： | 董艳 贺兴时 |
| |
| 作者单位： | 1. 陕西铁路工程职业技术学院基础部,陕西渭南,714000
2. 西安工程大学理学院,陕西西安,710048 |
| |
| 基金项目： | 陕西省教育厅专项科研计划项目，陕西省软科学计划项目，陕西铁路工程职业技术学院学院科研立项研究生项目 |
| |
| 摘 要： | 通常情况下,前人的工作都是连续情形下的结论,假定股票价格部分信息被屏蔽,只在有限的时刻点上股票价格是明确已知的.在此假设之下,尝试考虑几何平均型亚式期权定价问题.利用拟-鞅的方法,建立了分数布朗运动环境下亚式期权定价模型,获得了离散情形几何加权平均亚式期权价格的解析表达式.
|
| 关 键 词： | 分数布朗运动 拟-鞅 亚式期权 屏蔽数据 |
Geometric Average Asian Option Pricing Model Under the Masked Data Case |
| |
| DONG Yan , HE Xing-shi. Geometric Average Asian Option Pricing Model Under the Masked Data Case[J]. Mathematics in Practice and Theory, 2012, 42(22): 229-234 |
| |
| Authors: | DONG Yan HE Xing-shi |
| |
| Affiliation: | 1.Department of Basic,Shaanxi Railway Institute,Weinan 714000,China) (2.College of Science,Xi’an Polytechnic University,Xi’an 710048,China) |
| |
| Abstract: | Previous option pricing research typically assumes that the stock volatility is continuous during the life of the option.In this study,we assume the stock data in our option valuation model is masked,the stock price is clearly known only in the infinite time points.We attempt to consider the geometric average Asian option,under this assumption. The pricing model for Asian option is presented by quasi-martingale method.Finally the pricing formula of geometric weighted average Asian option in discrete case is obtained. |
| |
| Keywords: | fractional Brownian motion quasi-martingale Asian option masked data |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
