障碍期权推广到几何平均资产情况下的定价公式

Abstract

平均期权是亚式期权,其到期收益依赖于某个形式的整个期权有效期内或是其一部分时段内标的资产的平均价格.障碍期权指的是期权是否有效或是否执行决定于标的资产价格在期权有效期内是否碰上障碍.本文主要讨论几何平均资产在期权有效期内设有障碍的期权定价公式,并运用反射原理和回望期权的方法来推导出期权的定价公式.

Average option is Asian option.Its maturity income depends on the average price of underlying assets during the option's effective period or part of that period.Barrier option is refered to the option whose effectiveness or execution depends on whether underlying assets' price encounter barrier during the option's effective period.This paper mainly discuss the option's pricing formula of the geometric average assets with barrier during the option's effective period.And the option's pricing formula is worked out via the approach of the reflection principle and lookback option.