| 亚式期权的保险精算定价 |
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| 引用本文： | 叶小青,蹇明,吴永红.亚式期权的保险精算定价[J].华中科技大学学报(自然科学版),2005,33(3):91-92,121. |
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| 作者姓名： | 叶小青 蹇明 吴永红 |
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| 作者单位： | 华中科技大学,数学系,湖北,武汉,430074 |
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| 摘 要： | 在Mogens Bladt和Tima Hviid Rydberg无市场假设、仅利用价格过程的实际概率测度的期权保险精算定价模型的基础上，将标准欧式看涨期权定价模型推广到亚式期权定价模型，并给出了亚式期权定价的近似解析式，最后举出一个实例，计算结果表明了亚式期权定价模型的合理性。
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| 关 键 词： | 公平保费 亚式期权 期权定价 |
| 文章编号： | 1671-4512(2005)03-0091-02 |
| 修稿时间： | 2004年7月2日 |
An actuarial approach to Asian option pricing |
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| Ye Xiaoqing,Jian Ming,WU Yonghong.An actuarial approach to Asian option pricing[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2005,33(3):91-92,121. |
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| Authors: | Ye Xiaoqing Jian Ming WU Yonghong |
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| Institution: | Ye Xiaoqing Jian Ming Wu Yonghong Ye Xiaoqing Postgraduate, Dept. of Mathematics,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | Without market assumptions, Mogens Bladt and Tina Hviid Rydberg use merely probability measure of price process and actuarial considerations for pricing options. Under that condition, this paper extended the model of European call option pricing to Asian option pricing model. The Asian option approximate pricing formula was obtained. An example was given and the results prove the rationality of the Asian option pricing model. |
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| Keywords: | fair premium Asian option option pricing |
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