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| 摘要: |
| 讨论了股票价格过程遵循指数O-U(Ornstein-Uhlenback)过程的几何型亚式期权的定价问题,利用鞅方法,给出了具有固定执行价格的几何平均亚式期权的定价公式。 |
| 关键词: 几何型亚式期权 Ornstein-Uhlenback过程 鞅方法 |
| DOI： |
| 分类号: |
| 基金项目: |
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| Pricing of Asian Geometric Option Driven by Ornstein-Uhlenback Process |
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LIU Zhao-peng; ZHANG Zeng-lin
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| Abstract: |
| The pricing question of Asian geometric option of stock prices driven by exponential Ornstein-Uhlenback process is discussed.By the martingale methods,the pricing formula of Asian geometric average options with fixed strike price are obtained. |
| Key words: Asian geometric average options Ornstein-Uhlenback process martingale method |
