| 随机利率下亚式期权的定价模型 |
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| 引用本文： | 张曙光,袁水勇,王莉君.随机利率下亚式期权的定价模型[J].高校应用数学学报(英文版),2006,21(2):135-142. |
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| 作者姓名： | 张曙光 袁水勇 王莉君 |
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| 作者单位： | [1]Department of Statistics and Finance, University of Science and Technology of China, Anhui 230026,China [2]Department of Mathematics, Tongji University, Shanghai 200092, China |
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| 摘 要： | §1Introduction Asianoptionpayoffdependsontheaverageofassetpricesoverthelifeofoptions.Theirpopularityistoavoidthepossiblepricemanipulationatthematuritydatefor ordinaryoptions.ItturnsouttobedifficulttoderiveBlack-Scholes-likeclosed-form formulaforAsianoptionsbecausethedistributionofarithmetic-averageassetpricesdoes nothavestandardexpression.AlotofworkhasbeendoneonpricingAsianoptionssince KemmaandVorst(1990).Manytreatmentsdealwiththecaseofgeometricaverageforthe firststepeitherasanapproximatio…
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| 关 键 词： | 随机利率 亚式期权 定价模型 持续时间 |
| 收稿时间： | 2004-04-14 |
Prices of asian options under stochastic interest rates |
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| Zhang Shuguang,Yuan Shuiyong,Wang Lijun.Prices of asian options under stochastic interest rates[J].Applied Mathematics A Journal of Chinese Universities,2006,21(2):135-142. |
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| Authors: | Zhang Shuguang Yuan Shuiyong Wang Lijun |
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| Institution: | 1.Department of Statistics and Finance, University of Science and Technology of China, Anhui 230026,China;2.Department of Mathematics, Tongji University, Shanghai 200092, China |
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| Abstract: | Asian options are the popular second generation derivative products and embedded in many structured notes to enhance upside performance. The embedded options, as a result,usually have a long duration. The movement of interest rates becomes more important in pricing such long-dated options. In this paper, the pricing of Asian options under stochastic interest rates is studied. Assuming Hull and White model for the interest rates,a closed-form formula for geometric-average options is derived. As a by-product ,pricing formula is also given for planvanilla options under stochastic interest rates. |
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| Keywords: | Asian option stochastic interest rate Hull and White model |
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