CAJ | 학술논문

讨论了离散情形下几何平均亚式期权的定价方法。首先对离散情形下的几何平均进行处理，然后利用标准欧式期权的定价公式得到了固定执行价格离散几何平均亚式期权的定价公式，最后利用鞅论的方法得到了浮动执行价格离散几何平均亚式期权的定价公式。
토론료리산정형하궤하평균아식기권적정개방법。수선대리산정형하적궤하평균진행처리，연후이용표준구식기권적정개공식득도료고정집행개격리산궤하평균아식기권적정개공식，최후이용앙론적방법득도료부동집행개격리산궤하평균아식기권적정개공식。
In this paper,we discussed pricing method of the geometric average Asian option in the discrete case.Firstly,we transform the geometric average into proper form,and then using Vanilla call and put option pricing formula and martingale method to get the closed form solution of fixed strike and floating strike Asian option with geometric average assets prices in a discrete situation,respectively.