摘要
文章给出了一个强路径依赖型期权的B—S模型,并利用给出的强路径依赖型期权的B—S模型得到了在连续情形下具有固定敲定价格的几何平均亚式期权(平均利率期权)定价公式,同时给出了证明。
A Black-scholes model of strong path-dependent options and the price of geometric average asian option with fixed strike price based on this model were given and proved.
出处
《湖北第二师范学院学报》
2008年第2期12-14,共3页
Journal of Hubei University of Education
