| 幂型几何亚式期权的概率分析定价法 |
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| 引用本文： | 任芳玲,乔克林.幂型几何亚式期权的概率分析定价法[J].延安大学学报(自然科学版),2012,31(2):26-27,32. |
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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(2010JK914) |
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| 摘 要： | 针对幂型几何平均亚式期权,在存在连续红利的情况下,从概率分析的角度推导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 概率分析 |
Probability Analysis Pricing Method of Power-Geometric Asian Option |
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| REN Fang-ling,QIAO Ke-lin.Probability Analysis Pricing Method of Power-Geometric Asian Option[J].Journal of Yan'an University(Natural Science Edition),2012,31(2):26-27,32. |
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| Authors: | REN Fang-ling QIAO Ke-lin |
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| Institution: | (College of Mathematics and Computer Science,Yan an University,Yan an,716000,China) |
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| Abstract: | For power geometric mean Asian option,in the presence of continuous dividend,the pricing processes of power geometric Asian option are described from the angles of probability analysis.Through concrete calculation steps,the analytic pricing formula of power-geometric Asian option is 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 probability analysis |
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