亚扩散默顿利率模型下几何平均亚洲期权的定价

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Communications in Statistics - Theory and Methods Pub Date : 2024-05-10 DOI:10.1080/03610926.2024.2348070

Ping Zhao, Zhidong Guo

引用次数: 0

摘要

亚洲期权本质上是一种新型期权。在现有的期权定价模型中，布朗运动通常是标的资产价格变化的随机驱动源。而这...

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Pricing of geometric average Asian option under the sub-diffusion Merton interest rate model

Asian option is an essentially new type of option. In existing option pricing models, the Brownian motion is generally the stochastic driving source of changes in the underlying asset price. This a...

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来源期刊

Communications in Statistics - Theory and Methods 数学-统计学与概率论

CiteScore

2.00

自引率

12.50%

发文量

320

审稿时长

7.5 months

期刊介绍： The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.