摘要
对于期权价格,由于很难得到精确解,一般讨论数值解.文章考虑一种亚洲买方期权,在资产价格服从对数正态分布、风险中性、连续交易等假设条件下,利用概率方法,并借助几何平均理论、积分理论等工具,推出一个期权定价的解析公式.同时讨论了期权在理论上及现实应用中的意义.
It is very difficult to get a closed-form solution for option′ s price. An Asian call option is considered in this paper. By using the method of probability and the theory of geometric average and integral, a closed-from s olution to the option's price is given under suitable condition..
基金
安徽工程科技学院青年科研基金资助项目(2000YQ004)
