| 一类亚式期权的定价模型 |
| |
| 引用本文： | 蒲冰远,张步林. 一类亚式期权的定价模型[J]. 西北大学学报(自然科学版), 2009, 7(4): 1-4 |
| |
| 作者姓名： | 蒲冰远 张步林 |
| |
| 作者单位： | 成都纺织高等专科学校基础部,四川成都610023 |
| |
| 基金项目： | 基金项目：成都纺织高等专科学校自然科学基金（[2006]1k05） |
| |
| 摘 要： | 针对金融市场有无套利、是否完备及是否均衡的情况，分别从传统的Black-Scholes定价和保险精算定价出发，讨论了几何平均亚式期权的定价问题，给出了相应的定价模型并最终得到了它们的解析公式。
|
| 关 键 词： | 亚式期权 Black-Scholes定价法 保险精算定价法 解析公式 |
The models of an Asian option pricing |
| |
| PU Bing-yuan,ZHANG Bu-lin. The models of an Asian option pricing[J]. Journal of Northwest University(Natural Science Edition), 2009, 7(4): 1-4 |
| |
| Authors: | PU Bing-yuan ZHANG Bu-lin |
| |
| Affiliation: | (Department of Fundamental Education, Chengdu Textile College , Chengdu 610023 China) |
| |
| Abstract: | Under assumption that the financial market is arbitrage-free, complete and proportional or not, the pricing of geometric average option is studied, by means of traditional B-S method and insurance actuarial approach respectively. The pricing models are derived and their closed-form solutions are given out also |
| |
| Keywords: | asian option Black-Scholes method acturial approach closed-form solution |
| 本文献已被 维普 等数据库收录！ |
