merton推广模型的算术平均亚式期权定价
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Keywords: merton模型,亚式期权定价,l?vy过程,随机波动率
Abstract:
假设金融资产价格服从lévy过程且波动率是随机的,利用鞅方法、测度变换以及lévy过程的方法,得到具有固定敲定价格的算术平均亚式看涨期权在任何有效时刻的价格公式.
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