亚式期权

而在OTC（柜台交易）市场上交易的绝大部分亚式期权都是标的算术平均，研究算术平均亚式期权定价问题就变得非常有意义。

The majority of underlying asset of Asian option are arithmetic average in the OTC market . Therefore researching Asian option pricing is becoming more significant .

通过分析传统NPV方法和一般实物期权决策方法对技术开发投资估价的不足，引入了亚式期权方法，把实物期权和亚式期权结合起来，对技术开发投资决策进行了研究。

Traditional NPV methodology and general real option method have limitations in evaluating the investment of technological exploitation . In this paper , Asian option methodology is introduced and associated with real option .

亚式期权的控制变量MonteCarlo模拟

Pricing Asian Options with Emphasis on Control Variate Monte Carlo Methods

通过运用离散时间下平均自融资和Delta对冲策略得出几何亚式期权定价公式。

By a mean-self-financing Delta-hedging argument in a discrete time setting , a geometric average Asian call option pricing formula is obtained .

GARCH模型中美式亚式期权价值的蒙特卡罗模拟算法

Monte Carlo simulation method for pricing American - style Asian option in the GARCH Option Pricing Model

学术上第一次讨论亚式期权是BoyleandEmanuel（1980）。

The first paper to discuss Asian Options academically is Boyle and Emanuel ( 1980 ) .

对于算术平均亚式期权的估值很复杂，要得到一个如Black-Scholes那样的封闭形式解就相当困难。

It is complicated to obtain an explicit solution for the price of arithmetic average Asian options using the Black-Scholes model .

本文首先叙述了亚式期权定价的偏微分方程方法和概率方法，其中已知的PDE方法主要是Jiang（2003）的结果。

We first show the Partial Differential Equations method and the Probability method to price Asian Options . The PDE method which is known is mainly from Jiang ( 2003 ) .

本文运用推广的Clark公式，对由几何平均确定的亚式期权，得到实用的套期保值策略。

By a Generalized Clark Formula , this paper provides a hedging strategy for the Asian option calculated with geometric averaging . The hedging strategy is uncomplicated and easy to operate .

Vorst（1996）做了研究亚式期权的综述。

Vorst ( 1996 ) had a review of research results of Asian Options .

虽然大多数亚式期权都可以通过引用适当的变量代换降低维数，但是只有几何平均亚式期权的定价可以得到Black-Scholes类型的封闭形式解。

Though most Asian options permit a reduction in the dimensionality of the problem by use of a similarity variable , we can only obtain explicit solution for the price of geometric average Asian options by an appropriate Black-Scholes model .

本文以具有固定敲定价格的算术平均亚式期权为研究对象，并用标准二叉树模型（CRR）为它的定价模型。

This paper has a fixed strike price of the arithmetic average Asian options as the research object , and use the standard binomial model ( CRR ) pricing model for its pricing model .

Cheuk等人[7]给出了扩散模型中回望期权的单状态二叉树模型，Dai[10]将他们的结果推广至几何平均亚式期权的二叉树方法定价。

Dai [ 10 ] used their method to give the one-state binomial model for geometric average Asian options . In this paper , we generalize the results in Dai [ 10 ] to the jump diffusion models .

具有固定敲定价格的算术平均亚式期权的计算

Approximation for Pricing Arithmetic Average Asian Options with Fixed Strike Price

本文首先剖析了亚式期权的主要特征和价值生成机理。

This paper analyses the origin and characteristics of Asian option .

几何平均亚式期权定价方法的探析

An Investigation on Pricing Methods of the Geometric Average Asian Options

鞅分析在几何型亚式期权定价中的应用

Application of Martingale Analysis to Pricing of Geometric Average Asian Options

发电商可中断电力远期中的亚式期权及其定价研究

The Asian-option of Generation 's Interruptible Electricity Forwards and Its Pricing Research

跳跃扩散型离散几何平均亚式期权的定价

Pricing of Asian Options with Discrete Geometric Average in the Jump-Diffuse Process

具有浮动敲定价和交易费的几何亚式期权定价

Pricing Geometric Average Asian Options with Transaction Costs and Floating Strike Price

算术亚式期权的无套利定价问题

A no - arbitrage pricing problem for arithmetic Asian Options

几何亚式期权价格敏感性参数估计

Estimation of Sensitivity Parameters of the Geometric Asian Options Price

算术平均亚式期权定价的研究

The Price of the European-Style Arithmetic Average Asian Option Research

有交易费的几何平均亚式期权的定价公式

Pricing Formula of Geometry Average Asian Option with Transaction Costs

亚式期权及投资消费若干问题

The Asian Option & Some Investment / Consumption Problems

欧式加权几何平均价格亚式期权定价

Asian Option Pricing of European Weighted Geometric Average Value

基于线性同余算法的格点方法在亚式期权定价中的应用

The linear-congruential-algorithm based lattice method in Asian Option Pricing

而在用期权描述投资组合时分别考虑了欧式期权和亚式期权两种情形。

And European & Asian options are both conserved in the hedge of portfolio .

跳-扩散模型中有交易成本的亚式期权的定价研究

Study on the Valuation of Asian Options in a Jump-Diffusion Model with Transaction costs

亚式期权定价中的鞅方法

The method of martingale in Asian option pricing