| 与汇率相关的几何平均亚式交换期权定价公式 |
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| 引用本文： | 郭峰,李时银.与汇率相关的几何平均亚式交换期权定价公式[J].福州大学学报(自然科学版),2007,35(5):685-688. |
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| 作者姓名： | 郭峰 李时银 |
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| 作者单位： | 华侨大学数学系,福建,泉州,362021 |
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| 摘 要： | 在标的资产价格遵循对数正态扩散过程的假设下,研究如何把几何平均亚式期权推广到多资产期权的方法.运用等价鞅测度变换方法导出与汇率相关的几何平均亚式交换期权的定价公式.
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| 关 键 词： | 几何平均 汇率 交换期权 |
| 文章编号： | 1000-2243(2007)05-0685-04 |
| 修稿时间： | 2006年10月8日 |
The pricing formula of the geometric Asian exchange option related with exchange rate |
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| GUO Feng,LI Shi-yin.The pricing formula of the geometric Asian exchange option related with exchange rate[J].Journal of Fuzhou University(Natural Science Edition),2007,35(5):685-688. |
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| Authors: | GUO Feng LI Shi-yin |
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| Institution: | (Department of Mathematics,Huaqiao University,Quanzhou, Fujian 362021,China) |
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| Abstract: | The method of how to expand the geometric average Asian option to multiple assets option is studied on the hypothesis of the underlying assets price following the logarithmic normal diffuse processes.By applying equivalent martingale measure transformation within the framework of the model,we derive the pricing formula of the geometric Asian exchange option related with exchange rate. |
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| Keywords: | geometric average exchange rate exchange option |
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