﻿ 离散算术平均亚式期权定价的一个注记 A Remark on the Pricing Problem for Discrete Arithmetic Average Asian Options

Vol.04 No.02(2015), Article ID:15181,4 pages
10.12677/AAM.2015.42015

A Remark on the Pricing Problem for Discrete Arithmetic Average Asian Options

Fang Wu

School of Mathematics and Computer Science, Anhui Normal University, Wuhu Anhui

Email: wufang890903@126.com

Received: Apr. 12th, 2015; accepted: May 1st, 2015; published: May 7th, 2015

ABSTRACT

In this paper, we investigated the pricing for arithmetic average Asian options of discrete sampling. Curran analytical pricing formula and its demonstration were given, and then differences and the advantages and disadvantages between Curran analytical pricing formula and Nielsen analytical pricing formula were analyzed.

Keywords:Asian Option, Arithmetic Average Asian Option, Option Pricing

Email: wufang890903@126.com

1. 引言

2. 近似公式及讨论

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A Remark on the Pricing Problem for Discrete Arithmetic Average Asian Options. 应用数学进展,02,112-116. doi: 10.12677/AAM.2015.42015

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