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dc.contributor.author刘智华
dc.contributor.author李时银
dc.date.accessioned2017-11-14T02:50:59Z
dc.date.available2017-11-14T02:50:59Z
dc.date.issued2003-08-25
dc.identifier.citation数学的实践与认识,2003,(08):43-48
dc.identifier.issn1000-0984
dc.identifier.otherSSJS200308007
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/154773
dc.description.abstract在标的资产价格遵循跳跃扩散过程条件下 ,研究没有封闭形式解的离散算术平均亚式期权 ,运用二阶 Edgeworth逼近得到离散算术平均亚式期权的近似价格公式 .
dc.description.abstractWhen the underlying asset price foll ows the jump-diffuse process, the most common type of Asian options are the ave rage value options whose terminal payoff is determined by the discrete arithmeti c average of the past prices. The valuation problem of these options is difficul t for the sum of the past prices has no close form representation. The best appr oach for deriving approximate analytic price formulas is to use Edgeworth series expansion to approximate.
dc.language.isozh_CN
dc.subject亚式期权
dc.subjectIto-Skorohod随机微分方程
dc.subjectEdgeworth级数展开
dc.subjectasian option
dc.subjectito-skorohod stochastic partial differential equation
dc.subjectedgeworth series expansion
dc.title跳跃扩散型离散算术平均亚式期权的近似价格公式
dc.title.alternativeThe Approximate Analytic Price Formulas of Asian Options with Discrete Ari thmetic Averaging in the Jump-diffuse Process
dc.typeArticle


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