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高校应用数学学报
高校应用数学学报  2016, Vol. 31 Issue (1): 39-49    
    
非线性Black-Scholes模型下几何平均亚式期权定价
李志广, 康淑瑰
山西大同大学 数学与计算机科学学院, 山西大同 037009
The pricing of geometric average Asian options under the nonlinear Black-Scholes model
LI Zhi-guang, KANG Shu-gui
School of Mathematics and Computer Science, Shanxi Datong University, Datong 037009, China
 全文: PDF 
摘要： 在非线性Black-Scholes模型下, 本文研究了几何平均亚式期权定价问题. 首先利用单参数摄动方法, 将亚式期权适合的偏微分方程分解成一系列常系数抛物方程. 其次通过计算这些常系数抛物型方程的解, 给出了几何平均亚式期权的近似定价公式. 最后利用Green函数分析了近似结论的误差估计.
关键词： 几何平均亚式期权;  非线性Black-Scholes模型;  Green函数;  误差估计    
Abstract: In this paper, the pricing problems of geometric average Asian options are studied under the nonlinear Black-Scholes model. Firstly, the partial differential equations for the Asian options are transformed into a series of parabolic equations with constant coefficients by the perturbation method of single-parameter. Secondly, the approximate pricing formulae of the geometric average Asian options are given by solving those parabolic equations with constant coefficients. Finally, the error estimates of the approximate solutions are given by using Green function.
Key words: geometric average Asian options    nonlinear Black-Scholes model    Green function    error estimates
收稿日期: 2015-01-26 出版日期: 2018-05-17
CLC:  O211.6  
基金资助: 山西省自然科学基金(2008011002-1); 山西省高等教育发展基金(20101109; 20111020)
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引用本文:

李志广, 康淑瑰. 非线性Black-Scholes模型下几何平均亚式期权定价[J]. 高校应用数学学报, 2016, 31(1): 39-49.

LI Zhi-guang, KANG Shu-gui. The pricing of geometric average Asian options under the nonlinear Black-Scholes model. Applied Mathematics A Journal of Chinese Universities, 2016, 31(1): 39-49.

链接本文:

http://www.zjujournals.com/amjcua/CN/    或    http://www.zjujournals.com/amjcua/CN/Y2016/V31/I1/39

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