| 依赖时间参数的几种有固定执行价格的亚式期权定价 |
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| 引用本文： | 朱利芝,余君武.依赖时间参数的几种有固定执行价格的亚式期权定价[J].数学理论与应用,2012(2):14-19. |
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| 作者姓名： | 朱利芝 余君武 |
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| 作者单位： | 湖南科技大学数学与计算科学学院 |
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| 摘 要： | 本文在假定标的资产模型依赖时间参数（即无风险利率，标的资产的期望收益率，波动率及红利率），利用已建立的亚式期权定价模型，讨论了上限型期权、抵付型期权、双向型期权等，得到相应的期权定价解析公式．
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| 关 键 词： | 亚式期权 上限型期权 抵付型期权 欧式双向期权 |
Several Time-Dependent Parameters Fixed Exercise Price Asian Option Pricing |
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| Zhu Lizhi Yu Junwu.Several Time-Dependent Parameters Fixed Exercise Price Asian Option Pricing[J].Mathematical Theory and Applications,2012(2):14-19. |
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| Authors: | Zhu Lizhi Yu Junwu |
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| Institution: | Zhu Lizhi Yu Junwu(College of Mathematics and Computational Science,Hunan university of Science and Technology, Xiangtan,Hunan 411201,China) |
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| Abstract: | In the paper,the time-dependent parameters of the underlying asset,i.e.the riskless interest rate,expected rate of return of the underlying asset,volatility and dividend yield are considered,the use of the Asian option pricing model has been established to discuss Capped calls,Deductible Calls,Asset-or-Nothing and Bi-direction options etc,we obtain the corresponding option pricing analytic formula. |
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| Keywords: | Asian options Capped calls Deductible Calls Asset-or-Nothing and Bidirection options |
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