| 基于分数O-U随机过程的新型亚式期权的定价 |
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| 引用本文： | 彭大衡,姚元端.基于分数O-U随机过程的新型亚式期权的定价[J].经济数学,2005,22(1):36-41. |
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| 作者姓名： | 彭大衡 姚元端 |
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| 作者单位： | 湖南大学数学与计量经济学院,湖南,长沙,410079 |
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| 基金项目： | The author gratefully acknowledges supports from NNSF of China，湖南省自然科学基金 |
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| 摘 要： | 本文运用衍生证券理论的最基本原理(△对冲和无套利原理),研究了一种新型亚式期权的定价问题,该类型期权因具有常数平均值久期而不同于标准化情形.假设标的资产(气温)由分数Ornstein-Uhlenbeck过程驱动,这样假设对天气衍生品来说是合理的.本文得到了这种新型亚式期权的动态定价方程.
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| 关 键 词： | 亚式期权 分数Ornstein-Uhlenbeck过程 △对冲 无套利 |
PRICING OF NEW TYPE ASIAN OPTIONS WITH FRACTIONAL O-U PROCESS |
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| Peng Daheng,Yao Yuanduan.PRICING OF NEW TYPE ASIAN OPTIONS WITH FRACTIONAL O-U PROCESS[J].Mathematics in Economics,2005,22(1):36-41. |
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| Authors: | Peng Daheng Yao Yuanduan |
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| Abstract: | By using basic building blocks of derivatives theory:delta hedging and no arbitrage,this paper studies the price of Asian options with constant average duration which is differ from plain vanilla ones and the underlying assets(temperature)are assumed to be driven by fractional Ornstein-Uhlenbeck process which is reasonable for weather derivatives.Dynamic pricing equation is obtained. |
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| Keywords: | Asian options fractional ornstein-Uhlenbeck process delta hedging no arbitrage |
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