journal6 ›› 2006, Vol. 27 ›› Issue (6): 1-5.
• Mathematics • Next Articles
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Abstract: When important information is declared in the stock market,stock price will jump.In this paper,when stock price is in the Ito-Skorohod jump-diffuse process,the authors study the pricing of Asian options with discrete gemotric average and obtain it’s price formulas.
Key words: Asian option, Ito-Skorohod stochastic partial differential equation, geometric average
HE Shu-Hong, ZHOU Mi. Pricing of Asian Options with Discrete Geometric Average in the Jump-Diffuse Process[J]. journal6, 2006, 27(6): 1-5.
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https://zkxb.jsu.edu.cn/EN/Y2006/V27/I6/1