依赖于时间的跳跃-扩散型几何平均亚式期权的定价

摘要

In this paper, the model that the underlying asset with time-dependent parameters in the jump-diffusion process is investigated. Using the equivalent martingale measure when intensity λ is large enough, the Asian option with geometric average price is priced,and the corresponding put-call parity for Asian option is got.%采用标的资产价格遵循依赖于时间的跳跃-扩散模型,探讨了在跳跃强度λ充分大的前提下,利用等价鞅测度方法对几何平均价格亚式期权的定价,同时得到了相应的几何平均价格亚式期权的平价关系.