| 随机波动率模型下几何平均亚式期权的定价 |
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| 引用本文： | 唐玲,林志超. 随机波动率模型下几何平均亚式期权的定价[J]. 沈阳大学学报：自然科学版, 2014, 26(6): 510-513 |
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| 作者姓名： | 唐玲 林志超 |
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| 作者单位： | 1. 安徽建筑大学数理学院,安徽合肥,230601
2. 安徽大学数学学院,安徽合肥,230009 |
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| 摘 要： | 假设股票价格波动率服从对数正态分布,在此随机波动率模型下,利用等价鞅测度变换,得到了最小等价鞅测度下固定执行价格的几何平均亚式期权定价公式,并讨论了其近似解的求法.
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| 关 键 词： | 随机波动率 几何平均 亚式期权 固定执行价格 |
Geometric Average Asian Option Pricing under Stochastic Volatility Model |
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| Tang Ling,Lin Zhichao. Geometric Average Asian Option Pricing under Stochastic Volatility Model[J]. Journal of Shenyang University, 2014, 26(6): 510-513 |
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| Authors: | Tang Ling Lin Zhichao |
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| Affiliation: | Tang Ling , Lin Zhichao (1. School of Mathematics and Physics, Amhui Jianzhu University, Hefei 230601, China; 2. School of Mathematics, Anhui University, Hefei 230009, China) |
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| Abstract: | Assuming that the stock price volatility obey the lognormal distribution,under the stochastic volatility model,using the equivalent martingale measure transformation,the geometric average Asian option pricing formula is derived under the minimum equivalent martingale measure,and the approximate solution are discussed. |
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| Keywords: | stochastic volatility geometric average Asian options fixed strike price |
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