%0 Journal Article
%T Study on the Solution of Geometric Asian Option Pricing Model under the CEV Process<br>服从CEV的几何亚式期权的定价研究
%A WU Yun
%A HE Jian-min
%A <br>吴云
%A 何建敏
%J 系统工程理论与实践
%D 2003
%I 
%X In this paper, firstly, a kind of exotic options - standard geometric Asian option and its pricing model are dissertated; then, CEV is introduced, and the application of a binomial tree is put forward. At last, examples are provided which indicate the validity of the binomial tree.
%K exotic options
%K standard geometric Asian option pricing model
%K CEV
%K binomial tree<br>新型期权
%K 标准几何亚式期权
%K 波动率弹性为常数
%K 二叉树
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=BCD085208E7BB680&yid=D43C4A19B2EE3C0A&vid=EA389574707BDED3&iid=E158A972A605785F&sid=9971A5E270697F23&eid=933658645952ED9F&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=2&reference_num=8