支付连续红利率股票几何平均亚式期权定价.pdfVIP

B-SB-S 5B-S B-S B-S B-S (t) : – iii – Abstract Abstract Classical Black and Scholes model provided the foundation of modern option pricing theory. However, there are five important hypothesis in Black and Scholes option pricing theory, which often differ from the reality. The B-S model assumes that during the useful-life of the option, the riskless interest rate, the yield and the volatility of the financial assets are all constant, but in the real market, these parameters usually change with the time; The B-S model also assumes that during the useful-life of the option, the financial asset has no capital bonus or other income, but in the real market, most financial assets send capital bonus; The B-S model still assumes the option is European Option while there are abundant American Option and Asian Option. In order to avoid the drawback in the B-S model, we assume that: the financial asset is stock with consecutive capital bonus rate, the no risk interest rate, the yield and the volatility of the financial assets are all certain functions of the time. We mainly use formula, the method of martingale and the transform of the measure to investigate the pricing formula of geometric average Asian Option whose underlying