| 跳跃扩散型离散算术平均亚式期权的近似价格公式 |
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| 引用本文： | 刘智华,李时银.跳跃扩散型离散算术平均亚式期权的近似价格公式[J].数学的实践与认识,2003,33(8):42-47. |
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| 作者姓名： | 刘智华 李时银 |
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| 作者单位： | 厦门大学数学系,厦门,361005 |
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| 摘 要： | 在标的资产价格遵循跳跃扩散过程条件下 ,研究没有封闭形式解的离散算术平均亚式期权 ,运用二阶 Edgeworth逼近得到离散算术平均亚式期权的近似价格公式 .
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| 关 键 词： | 亚式期权 Ito-Skorohod随机微分方程 Edgeworth级数展开 |
| 修稿时间： | 2002年10月22 |
The Approximate Analytic Price Formulas of Asian Options with Discrete Arithmetic Averaging in the Jump-diffuse Process |
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| LIU Zhi-hua,\ LI Shi-yin.The Approximate Analytic Price Formulas of Asian Options with Discrete Arithmetic Averaging in the Jump-diffuse Process[J].Mathematics in Practice and Theory,2003,33(8):42-47. |
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| Authors: | LIU Zhi-hua \ LI Shi-yin |
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| Abstract: | When the underlying asset price foll ows the jump-diffuse process, the most common type of Asian options are the ave rage value options whose terminal payoff is determined by the discrete arithmeti c average of the past prices. The valuation problem of these options is difficul t for the sum of the past prices has no close form representation. The best appr oach for deriving approximate analytic price formulas is to use Edgeworth series expansion to approximate. |
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| Keywords: | asian option ito-skorohod stochastic partial differential equation edgeworth series expansion |
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