A New Method for Asian Arithmetic Option Pricing

摘要：

In this note,Asian arithmetic option with fixed strike price is discussed by a new approach method.Asian option pricing formula is obtained by means of partial differential equations,integral transforms,and the program Mathematica.

关键词： Option pricing Asian arithmetic option Laplace transform

作者: Sun Yudong Dong Lihua

作者单位: School of Science,Xi”an Polytechnic University 19,South Jinhua Road,Xi”an 710048,Shaanxi,China School of Science,dezhou University 556,west University Road,Dezhou 253023,Shandong,China

会议类型: 国内会议

会议名称: 第三届中国智能计算大会

会议地点: 济南

会议语种:英文

页码: 135-138

在线出版日期: 2009-05-15（万方平台首次上网日期，不代表论文的发表时间）