The Method of Martingale in Asian Geometric Average Option Pricing

LIU Hong-en; KONG Fan-liang

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The Method of Martingale in Asian Geometric Average Option Pricing

更新时间：2026-07-10

- The Method of Martingale in Asian Geometric Average Option Pricing
- Vol. 15, Issue 1, Pages: 80-82(2010)
- 作者机构：
  
  哈尔滨理工大学应用科学学院
- 作者简介：
- 基金信息：
- DOI：
  CLC： F224;F830.9
- Published：2010
- 稿件说明：
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LIU Hong-en, KONG Fan-liang. The Method of Martingale in Asian Geometric Average Option Pricing[J]. 2010, 15(1): 80-82.
DOI：

LIU Hong-en, KONG Fan-liang. The Method of Martingale in Asian Geometric Average Option Pricing[J]. 2010, 15(1): 80-82. DOI：

摘要

在市场无套利的假设下

讨论了B-S模型的一般情形.研究了具有固定敲定价格的几何型亚式期权在任意有效时刻的定价问题.利用鞅分析方法得出了几何型亚式期权在任意有效时刻定价的解析表达式

并由此得出其看涨看跌平价公式.

Abstract

Based on the hypothesis that market is non-arbitrage

the generalized case of the Black-Scholes is discussed. This paper studies the pricing on Asian geometric average options with fixed strike price at any valid time. Using the method of equivalent measure and martingale

we draw the price formula of the Asian geometric average options at any valid time. Furthermore

the analytical expression of the Asian geometric average options pricing and call-put parity relation are derived.

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