亚洲期权定价的随机扩展

arXiv - QuantFin - Pricing of Securities Pub Date : 2024-02-27 DOI:arxiv-2402.17684

Fabien Le Floc'h

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引用次数: 0

摘要

我们提出了在参数随时间变化的布莱克-斯科尔斯（Black-Scholes）模型下，亚洲期权离散平均定价的封闭分析近似值。这些公式是通过对数正态代理模型的随机泰勒展开得到的，在实践中非常精确。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Stochastic expansion for the pricing of Asian options

We present closed analytical approximations for the pricing of Asian options with discrete averaging under the Black-Scholes model with time-dependent parameters. The formulae are obtained by using a stochastic Taylor expansion around a log-normal proxy model and are found to be highly accurate in practice.

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arXiv - QuantFin - Pricing of Securities

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