| CEV模型下有离散红利支付的几何平均亚式期权的定价 |
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| 引用本文： | 张增林,刘兆鹏,武以敏. CEV模型下有离散红利支付的几何平均亚式期权的定价[J]. 宿州学院学报, 2011, 26(5): 16-18. DOI: 10.3969/j.issn.1673-2006.2011.05.006 |
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| 作者姓名： | 张增林 刘兆鹏 武以敏 |
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| 作者单位： | 宿州学院数学与统计学院,安徽宿州,234000 |
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| 基金项目： | 宿州学院硕士科研基金启动项目(2008yss20);宿州学院校级自然科学研究项目(2009yzk20) |
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| 摘 要： | 首先阐述了标准几何亚式期权的涵义及其定价模型,介绍了CEV的涵义,然后借助PhelimP.Boyle和Yisong Tian为CEV模型下回望期权和障碍期权的定价技巧,利用二叉树逼近方法得到服从CEV过程且有离散红利支付的几何平均亚式期权的定价。
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| 关 键 词： | 几何平均亚式期权 波动率弹性为常数 二叉树模型 |
Geometric Asian Option Pricing under the CEV model with Discrete Dividend Payments |
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| ZHANG Zeng-lin,LIU Zhao-peng,WU Yi-min. Geometric Asian Option Pricing under the CEV model with Discrete Dividend Payments[J]. Journal of Shuzhou College, 2011, 26(5): 16-18. DOI: 10.3969/j.issn.1673-2006.2011.05.006 |
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| Authors: | ZHANG Zeng-lin LIU Zhao-peng WU Yi-min |
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| Affiliation: | ZHANG Zeng-lin,LIU Zhao-peng,WU Yi-min School of Mathematics and Statistics,Suzhou University,Suzhou Anhui,234000 |
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| Abstract: | In this paper,firstly,standard geometric Asian option and its pricing model are introduced,then,CEV is presented,after that,by virtue of the technique Phelim P.Boyle and Yisong Tian used to price lookback options and barrier options under CEV process,the application of abinomial tree is put forward to get the price of the geometric Asianoption with discrete dividend paid under CEV process. |
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| Keywords: | geometric asian option constant elasticity of variance binomial tree model |
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