Pricing Asian options in a semimartingale model
Pricing Asian options in a semimartingale model
复制标题
半鞅模型中的亚洲期权定价
DOI：
--
复制
发表时间：
2004
期刊：
影响因子：
--
通讯作者：
Mingxin Xu
中科院分区：
文献类型：
--
作者：
J. Vecer;Mingxin Xu
本文研究了标的股票服从特殊半鞅过程的算术亚式期权。我们证明了亚式期权定价的内在路径依赖问题可以转化为一个在支付函数中没有路径依赖的问题。我们还表明，价格是由一个独立的增量过程，利维过程是一个特例。这种方法适用于离散或连续选项。
In this paper we studyy arithmetic Asian options when the underlying stock is driven by special semimartingale processes. We show that the inherently path dependent problem of pricing Asian options can be transformed into a problem without path dependence in the payoff function. We also show that the price is driven by a process with independent increments, Levy processes being a special case. This approach applies for both discretely or continuously options.