【摘要】 假定股票价格过程为一类特殊跳-扩散过程,其为比Poisson过程更一般的跳过程。在市场无套利条件下建立随机微分方程,以随机分析和鞅理论为基础,用鞅定价方法给出具有敲定价格的算术平均连续亚式期权的定价公式。更多还原

【Abstract】 Assuming that the stock pricing process is a special class of jumping-diffusion process,which is a more general jump process than Poisson process.Stochastic differential equations were established in the condition of no-arbitrage market.Stochastic analysis and martingale theory were adopted as the calculation basis.Arithmetic average continuous Asian option pricing formulas for a special jumping-diffusion model were derived via methods of martingale pricing.更多还原