| 亚式期权定价中的鞅方法 |
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| 引用本文： | 杜雪樵,唐玲. 亚式期权定价中的鞅方法[J]. 合肥工业大学学报(自然科学版), 2005, 28(2): 206-208 |
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| 作者姓名： | 杜雪樵 唐玲 |
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| 作者单位： | 合肥工业大学,理学院,安徽,合肥,230009;合肥工业大学,理学院,安徽,合肥,230009 |
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| 摘 要： | 在市场无套利的假设下 ,讨论了变系数 B-S模型下亚式期权定价 ,利用测度变换和鞅方法 ,简化了亚式期权价格的求解过程 ,并通过求解随机微分方程给出有关随机过程在某一时刻的分布 ,导出几何平均亚式期权定价的解析表达式 ,并由此得出其看涨看跌平价公式
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| 关 键 词： | 测度变换 鞅 随机微分方程 亚式期权 |
| 文章编号： | 1003-5060(2005)02-0206-04 |
| 修稿时间： | 2004-05-20 |
The method of martingale in Asian option pricing |
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| DU Xue-qiao,TANG Ling. The method of martingale in Asian option pricing[J]. Journal of Hefei University of Technology(Natural Science), 2005, 28(2): 206-208 |
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| Authors: | DU Xue-qiao TANG Ling |
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| Abstract: | Based on the hypothesis that the market is non-arbitrage, the case of coefficients being noncoefficient is discussed,and the solving process of the Asian option pricing is simplified by the methods of changing measure and martingale. Through solving the stochastic differential equation,the distribution of relevant stochastic process at certain time is gotten. Furthermore, the analytical expression of the Asian option pricing and the call-put parity relation are derived. |
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| Keywords: | change of measure martingale stochastic differential equation Asian option |
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