英文标题：
《Recursive formula for arithmetic Asian option prices》
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作者：
Kyungsub Lee
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最新提交年份：
2013
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英文摘要：
We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return process and European option prices. The computation of arithmetic Asian option prices is straightforward whenever European option prices are available. Applications with numerical results under the Black-Scholes framework and the exponential L\\\'evy model are proposed.
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中文摘要：
在半鞅模型中，我们推导了有限观测时间的算术亚式期权价格的递推公式。该方法基于收益过程二次变化的风险中性预期与欧式期权价格之间的关系。只要有欧式期权价格，算术亚式期权价格的计算就很简单。文中给出了在Black-Scholes框架和指数LSevy模型下数值结果的应用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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