主要研究了股票价格过程由几何Lévy过程驱动的亚式期权的定价问题,利用鞅方法,选择股票作为计价单位及相应的等价鞅测度给出了几何平均亚式期权简单的定价公式.%The paper examines the problem of pricing Asian options on a stock whose price process is modeled by a geometric Lévy process. Using martingale methods, and choosing the stock as numeraire asset and corresponding equivalent martingale measure, the author gets the simple pricing formula by the Asian option in the case of geometric average.
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