| EXPLICIT EXPRESSIONS FOR THE VALUATION AND HEDGING OF THE ARITHMETIC ASIAN OPTION |
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| 作者姓名： | YANGZhaojun HUANGLihong MAChaoaun |
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| 作者单位： | [1]SchoolofMathematicsandEconometrics,HunanUniversity,Changsha410082,China [2]SchoolofBusinessManagement,HunanUniversity,Changsha410082,China |
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| 基金项目： | Project Supported by Scientific Research Fund of Hunan Provincial Education Department (No. 01B031) |
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| 摘 要： | On the basis of a result in Yor (1992), this paper gives explicit expressions for the valuation and hedging of the arithmetic Asian option.
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| 关 键 词： | 金融市场 算术亚式期权 估价 套期保值 |
EXPLICIT EXPRESSIONS FOR THE VALUATION AND HEDGING OF THE ARITHMETIC ASIAN OPTION |
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| YANGZhaojun HUANGLihong MAChaoaun.EXPLICIT EXPRESSIONS FOR THE VALUATION AND HEDGING OF THE ARITHMETIC ASIAN OPTION[J].Journal of Systems Science and Complexity,2003,16(4):557-561. |
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| Authors: | YANG Zhaojun HUANG Lihong |
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| Abstract: | On the basis of a result in Yor (1992), this paper gives explicit expressions for the valuation and hedging of the arithmetic Asian option. |
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| Keywords: | Arithmetic Asian option valuation and hedging explicit solution |
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