亚式期权定价的两个题目探讨.pdfVIP

CEV ℄ CEV ℄ CEV B-S  CEV Phelim P. Boyle Yisong Tian CEV ℄ ℄ CEV  CEV B-S   ℄ I Abstract In the financial market, path-dependent option is more competitive than standard option profit from its path-dependent character, and increasingly become the researcher’s focus of the option pricing field. CEV model is the generalization of the Geometric Brown- ian motion, the option pricing research under CEV process mainly focuses on lookback options and barrier options, but ignores the Asian options which is also path-dependent. In this paper we consider two problems on Asian option pricing: pricing geometric Asian option on underlying assets obeying CEV process; pricing arithmetic average Asian option with floating strike price under B-S model. Firstly, standard geometric Asian option and its pricing model are considered, then CEV is introduced. By virtue of the technique Phelim P.Boyle and Yisong Tian used to price lookback options and barrier options under CEV process, the application of a binomial tree is put forward to get the price of the geometric Asian option with discrete dividend paid under CEV process. Besides, we extend the geometric average weight number to the more commonly weighted geometric average. Secondly, we consider the pricing of the arithmetic average Asian option with floating strike price under B-S model. In order to simplify the fussy computation in the binomial tree method, we introduce the Parabolic interpolation on the ba