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  • 标题:Equivalent Martingale Measure in Asian Geometric Average Option Pricing
  • 本地全文:下载
  • 作者:Yonggang Zhu
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2014
  • 卷号:04
  • 期号:04
  • 页码:304-308
  • DOI:10.4236/jmf.2014.44027
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:The general situation of the Black-Scholes Option Pricing Model was discussed under the assumption of the arbitrage-free market, and the pricing of Asian geometric average options with fixed strike price was analyzed at any valid time. Consequently, the price formula of the Asian geometric average options was drawn using the equivalent martingale measure and the significance of the study was also indicated.
  • 关键词:Asian Geometric Average Options; Equivalent Martingale Measure; Black-Scholes Option Pricing Model; Strike Price
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