| 幂型几何亚式期权的微分方程定价法 |
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| 引用本文： | 任芳玲,乔克林.幂型几何亚式期权的微分方程定价法[J].陕西理工学院学报(自然科学版),2012,28(3):42-44,55. |
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| 作者姓名： | 任芳玲 乔克林 |
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| 作者单位： | 延安大学数学与计算机科学学院,陕西延安,716000 |
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| 基金项目： | 陕西省教育厅自然科学基金资助项目，延安大学教改项目 |
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| 摘 要： | 对幂型几何平均亚式期权,在存在连续红利的情况下,从求解偏微分方程的途径表述了幂型几何亚式期权的定价过程.通过具体的演算步骤,得出了幂型几何亚式期权的解析定价公式,是期权理论中部分已知结果的自然推广.
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| 关 键 词： | 幂型期权 亚式期权 幂型几何亚式 偏微分方程 |
Differential equation pricing method of power-geometric Asian option |
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| REN Fang-ling
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QIAO Ke-lin.Differential equation pricing method of power-geometric Asian option[J].Journal of Shananxi University of Technology:Natural Science Edition,2012,28(3):42-44,55. |
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| Authors: | REN Fang-ling QIAO Ke-lin |
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| Institution: | (School of Mathematics and Computer Science,Yan′an University,Yan′an 716000,China) |
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| Abstract: | In this paper,for power-geometric mean Asian option,in the presence of continuous dividend,the pricing processes of power geometric Asian option was described in the approach of solving partial differential equation.Through concrete calculation steps,the analytic pricing formula of power-geometric Asian option was obtained,which is a natural generalization of some well-known results in option theory. |
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| Keywords: | power option Asian option power-geometric Asian option partial differential equation |
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