论文部分内容阅读
假设股票价格受分数布朗运动驱动下,利用拟条件期望的方法,得到了浮动执行价格的几何平均亚式期权定价公式。
Assuming that the stock price is driven by the fractional Brownian motion, the geometric average Asian option pricing formula for the floating exercise price is obtained by using the method of quasi-conditional expectation.