- 期刊
Pricing Asian Options on Assets Driven by a Combined Geometric Brownian Motion and a Geometric Compound Poisson Process
並列摘要
In the paper we study the pricing of Asian options when the price dynamics of the underlying asset are driven by a combined geometric Brownian motion and a geometric compound Poisson process. With the presence of the jump effect, the market in this model is (in general) incomplete, and that therefore there are no unique hedging prices. For this model, we adopt the minimal martingale measure introduced by Follmer and Schweizer [7] as the risk-neutral pricing measure. We then present a partial integro-differential equation (PIDE) whose solution leads to Asian option prices.
參考文獻
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被引用紀錄
Lin, H. J. (2013). Analytical Valuation of Asian Options with Continuously Paying Dividends in Jump-Diffusion Models. 淡江理工學刊, 16(2), 197-204. https://doi.org/10.6180/jase.2013.16.2.11
Lin, H. J. (2006). 具跳躍亞式選擇權及相關財務問題之研究 [doctoral dissertation, National Central University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0031-0207200917335627
延伸閱讀
- Dai, T. S., & Fang, Y. Y. (2004). Pricing Options with Geometric Average Reset Feature. 中原學報, 32(4), 515-526. https://doi.org/10.6358/JCYU.200412.0515
- Wang, C., Zhou, S., & Yang, J. (2015). The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment. Discrete Dynamics in Nature and Society, 2015(), 1043-1052. https://doi.org/10.1155/2015/579213
- Shu, C. H. (2006). Pricing Asian Options with Fourier Convolution [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2006.03106
- Chen, C. L. (2008). Pricing Exchange Rate-Linked Asian Options by the Reciprocal Gamma Distribution Method [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2008.02145
- Cen, Z. D., Le, A. B., & Xu, A. M. (2013). An Alternating-Direction Implicit Difference Scheme for Pricing Asian Options. Journal of Applied Mathematics, 2013(), 118-125-513. https://doi.org/10.1155/2013/605943