{"title":"亚扩散默顿利率模型下几何平均亚洲期权的定价","authors":"Ping Zhao, Zhidong Guo","doi":"10.1080/03610926.2024.2348070","DOIUrl":null,"url":null,"abstract":"Asian option is an essentially new type of option. In existing option pricing models, the Brownian motion is generally the stochastic driving source of changes in the underlying asset price. This a...","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pricing of geometric average Asian option under the sub-diffusion Merton interest rate model\",\"authors\":\"Ping Zhao, Zhidong Guo\",\"doi\":\"10.1080/03610926.2024.2348070\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Asian option is an essentially new type of option. In existing option pricing models, the Brownian motion is generally the stochastic driving source of changes in the underlying asset price. This a...\",\"PeriodicalId\":0,\"journal\":{\"name\":\"\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0,\"publicationDate\":\"2024-05-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1080/03610926.2024.2348070\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/03610926.2024.2348070","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Pricing of geometric average Asian option under the sub-diffusion Merton interest rate model
Asian option is an essentially new type of option. In existing option pricing models, the Brownian motion is generally the stochastic driving source of changes in the underlying asset price. This a...
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