| 亚式期权与欧式期权的实证比较 |
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| 引用本文： | 杨少华.亚式期权与欧式期权的实证比较[J].吉林工学院学报,2007,28(3):329-332. |
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| 作者姓名： | 杨少华 |
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| 作者单位： | 阜阳师范学院数学系 安徽阜阳236032 |
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| 摘 要： | 讨论了用欧式看涨期权和连续情形下的几何平均亚式期权中的看涨期权进行投资时收益和风险之间的关系。从上海和深圳证券交易所随机选取10只股票收盘价的数据进行实证分析,得出采用几何平均亚式期权进行投资比采用欧式期权进行投资风险更小,这与几何平均亚式期权的设计是相符的。
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| 关 键 词： | 算术平均 几何平均 对数正态分布 |
| 文章编号： | 1006-2939（2007）03-0329-04 |
| 收稿时间： | 2007-04-06 |
| 修稿时间： | 2007年4月6日 |
Empirical comparison between Asian option and European option |
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| YANG Shao-hua.Empirical comparison between Asian option and European option[J].Journal of Jilin Institute of Technology,2007,28(3):329-332. |
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| Authors: | YANG Shao-hua |
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| Institution: | Department of Mathematics, Fuyang Normal College, Fuyang 236032, China |
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| Abstract: | The relationship between the profit and the risk of investing is discussed under both the European option and the geometric average(continuous situation) Asian option.Taking the random chosen data of the 10-share closing price data of in both Shanghai and Shenzhen stock exchange as examples,we come to a conclusion that the risk is less by means of Asian option investment,which is in line with the design of Asian option. |
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| Keywords: | arithmetic average geometric average logarithmic normal distribution |
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