| 关于亚式期权投资策略的研究 |
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| 引用本文： | 付华,李林波,陈典发.关于亚式期权投资策略的研究[J].廊坊师范学院学报,2003,19(4):76-80. |
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| 作者姓名： | 付华 李林波 陈典发 |
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| 作者单位： | 1. 廊坊师范学院,数学系,河北,廊坊,065000
2. 南开大学,金融信息技术系,天津,300071 |
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| 摘 要： | 针对连续情形下亚式期权中几何平均资产价格看涨期权，运用BLack—scholes期权定价理论，讨论了关于亚式期权两种不同投资策略的收益和风险之间的关系，并继续采用献7]所述的30只股票收盘价的数据进行实证分析，最后将实证分析所得结果与献7]所得结果进行了比较．
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| 关 键 词： | 欧式期权 亚式期权 投资策略 收益 风险 |
| 文章编号： | 1671-1416(2003)04-0076-05 |
| 修稿时间： | 2003年3月19日 |
A Study of Asian Option Investment Policies |
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| FU Hua,LI Lin-bo,CHEN Dian - fa.A Study of Asian Option Investment Policies[J].Journal of Langfang Teachers College,2003,19(4):76-80. |
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| Authors: | FU Hua LI Lin-bo CHEN Dian - fa |
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| Abstract: | Based on the option pricing theory of Black - Scholes and focused on a lasting rising geometric average asset price in Asian option, this article discusses the relationship between the profit and risk of 2 Asian option investment policies, and gives further positivist analysis on the closing price data of 30 shares mentioned in Document 7. In the end, a comparison between the result of positivist analysis and that of Document 7 is offered. |
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| Keywords: | European option Asian option investment policy profit risk |
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