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在非线性Black-Scholes模型下,研究了算术平均亚式期权定价问题.首先利用单参数摄动方法,将亚式期权适合的偏微分方程分解成一系列常系数抛物方程.其次通过计算这些常系数抛物型方程的解,给出了算术平均亚式期权的近似定价公式.最后分析了近似结论的误差估计,并通过数值算例验证了所得近似结论的合理性.
Under non-linear Black-Scholes model, we study the arithmetic average Asian option pricing problem.Firstly, we use the one-parameter perturbation method to decompose the partial differential equations of Asian options into a series of constant coefficient parabolic equations.Secondly, by calculating these constant coefficients Parabolic equation solution, the approximate pricing formula of arithmetic average Asian option is given.Finally, the error estimate of approximate conclusion is analyzed and the rationality of the approximate conclusion is verified by numerical examples.