摘要
在标的资产价格跳过程为更新过程的假设下,研究了具有浮动敲定价格的亚式期权,通过自融资交易复制将路径依赖的亚式期权定价问题转化为与路径无关的微分方程的求解问题,拓展了刘宣会的结果。
On the assumption that the jump process in pricing of the underlying assets stock is a kind of renewal process, Asian Option with floating strike price was discussed. The pricing problem of Asian Option was changed into a differential equation with- out path - dependency by self - financing transaction replication. This deepened the research results of Liu Xuanhui in 2008.
出处
《武汉理工大学学报（信息与管理工程版）》
CAS
2010年第1期129-131,共3页
Journal of Wuhan University of Technology：Information & Management Engineering
基金
国家自然科学基金资助项目(87073113)
关键词
更新过程
鞅测度
对冲风险
亚式期权
跳扩散过程
renewal process
martingale measure
hedge risk
Asian Option
jump - diffusion process
