【摘要】 本文提出一个在GARCH模型框架下求解美式亚式期权的数值方法。这个方法利用二项式近似有效地解决了因GARCH模型和亚式期权固有的复杂性而带来的计算上困难,并举例检验了该方法的准确性。更多还原

【Abstract】 We propose a numerical method for pricing American-style Asian options in the framework of GARCH option pricing model. By using a binomial approximation this method effectively solves the computational problems arising from the inherent complexities of both GARCH model and Asian options. We present numerical results to demonstrate the accuracy of our method.更多还原