几何平均篮子期权定价研究

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英文篇名：Geometric Average Basket Option Pricing 作者：张立东 ; 孟祥波 ; 孙艳美 ; 杜子平 英文作者：Zhang Lidong;Meng Xiangbo;Sun Yanmei;Du Ziping;School of Science,Tianjin University of Science & Technology;Center for Financial Engineering and Risk Management,Tianjin University of Science & Technology;School of Economy and Management,Tianjin University of Science & Technology; 关键词：指数Ornstein-Uhlenbeck过程 ; 篮子期权 ; 矩匹配 英文关键词：exponential Ornstein-Uhlenbeck process;;basket option;;moment matching methods 中文刊名：NKDZ 英文刊名：Acta Scientiarum Naturalium Universitatis Nankaiensis 机构：天津科技大学理学院;天津科技大学金融工程与风险管理研究中心;天津科技大学经济与管理学院; 出版日期：2019-04-15 出版单位：南开大学学报(自然科学版) 年：2019 期：v.52 基金：教育部人文社会科学研究青年基金(19YJCZH251);; 天津市教委科研计划项目(2018KJ113) 语种：中文; 页：NKDZ201902014 页数：6 CN：02 ISSN：12-1105/N 分类号：78-83

摘要

利用Exponential-Ornstein-Uhlenbeck过程刻画金融市场中资产价格,利用矩匹配的方法,计算得出几何平均篮子期权价格的近似值.
        The prices of the assets are described by the exponential-Ornstein-Uhlenbeck processes in the financial market, and the approximated price of geometric average basket option is given by moment matching methods.

引文

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