| 张敏，朱晖.具有浮动执行价格的亚式期权鞅定价[J].南华大学学报(自然科学版),2013,27(3):43~45.[ZHANG Min,ZHU Hui.Martingale Methods of Asian Option Pricing with Floating Striked Price[J].Journal of University of South China(Science and Technology),2013,27(3):43~45.] |
| 具有浮动执行价格的亚式期权鞅定价 |
| Martingale Methods of Asian Option Pricing with Floating Striked Price |
| 投稿时间：2013-05-25 |
| DOI： |
| 中文关键词: 浮动执行价格 亚式期权 两资产相关 鞅定价 |
| 英文关键词:floating execution price Asian options two related assets martingale pricing |
| 基金项目:衡阳市科技局基金资助项目（2012KJ17） |
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| 中文摘要: |
| 本文在概率测度空间中，对亚式期权定价进行研究，考虑股票价格服从布朗运动，浮动执行价格服从It过程的两资产相关模型中,得出等价鞅测度下亚式期权的定价公式。 |
| 英文摘要: |
| :On the probability measure space for Asian Option Pricing study,we conside the stock price follows Brown motion and floating exercise price follows It process during the two assets related model,to obtain Asian options pricing formula under the equivalent martingale measure. |
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