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《Natural Science Journal of Hainan University》 2008-02
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The Pricing Formula of the Geometric Average Asian Options with Floating Strike Price in the Continuous Situation

LI Li-ya ZHANG Zhao-yuan(College of Science ,Wuhan University of Science & Technology,Wuhan 430045,China)  
This paper gives the uniform Black-Scholes (B-S) model of strong path-dependent options.In addi- tion,we get the price of geometric average Asian option with floating strike price,making use of the uniform B-S Model of strong,path-dependent option,and prove that.
【CateGory Index】: F830.9;F224
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【Citations】
Chinese Journal Full-text Database 3 Hits
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【Co-citations】
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1 LI Bo (Department of Mathematics,Anyang Nermal University,Anyang 455000,China);Asian Stock Options Pricing and Application on Stock Option Stimulation[J];Journal of Anyang Normal University;2008-02
2 Feng Deyu(College of Economics and Business Administration,North China Univ.of Tech.,100144 Beijing,China);Study of Lookback Option Pricing in Fractional Brownian Motion Environment[J];Journal of North China University of Technology Beijing China;2009-01
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4 LI Li-ya1,2(1.Department of Mathematics and Econometrics,Hubei No.2 Normal University,Wuhan 430060,China;2.School of Science,Wuhan University of Science and Technology,Wuhan 430070,China);Pricing Formula of Average Exercise Price Options in a Continuous Situation[J];Journal of Chongqing Institute of Technology(Natural Science Edition);2007-11
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8 DENG Zui-cha(Dept.of Applied Mathematics, Tongji University, Shanghai 200092, China);The optimum control method for the determination of the implied volatility[J];Basic Sciences Journal of Textile Universities;2004-04
9 RONG Yuetang, WU Haishan(College of Science, XAUEST,Xi'an 710048,China);The numerical solution of derivative security depend on two state variables[J];Basic Sciences Journal of Textile Universities;2005-01
10 ZHOU Zhuo-hua, LI Song, HU Li (College of Economics and Business Administration, Chongqing University, Chongqing 400030, China);Real Options Method Based on Market Information in Corporate Valuation in M&As[J];Journal of Chongqing University(Natural Science Edition);2005-07
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1 LIU Bin CAI Qiang (School of Economics & Management,UESTC,Chengdu,610054,China);Financial Markets for Electricity and A Real Option Approach to Generation Investment in Electricity Market[A];[C];2008
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【Secondary Citations】
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