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两个或多个几何平均价格的最小或最大值期权是金融领域极具应用前景的新型复合期权.提出了一种新方法,简单而巧妙地得到了两个几何平均价格的最小值期权价格的解析公式.将该法直接推广,首次得到多个几何平均价格的最小和最大值期权的解析公式.首次给出的数值算例表明两个几何平均价格的最小值期权要比相应的最大值期权便宜,而它们都要比两资产的最大值期权便宜.若考虑红利率,则它们两者的价格都会减少.
The minimum or maximum option of two or more geometric average prices is a promising new composite option in the financial field. A new method is proposed that simply and ingeniously obtains the minimum option price of two geometric mean prices Analytic formula.This method is generalized and the analytical formula of the minimum and maximum options with multiple geometric mean prices is obtained for the first time.The numerical example given for the first time shows that the minimum option of the two geometric mean prices is higher than the corresponding maximum option Cheaper, and they are cheaper than the maximum option for both assets, both of which are less expensive given the dividend rate.