ABSTRACT

In this paper, we work under a stochastic volatility model to value options on the maximum of two average prices. In the proposed framework, explicit pricing formulae of options on the maximum of two average prices are obtained. Finally, we perform numerical examples to illustrate the prices of options on the maximum of two average prices and those of options on the maximum of two underlying asset prices.

中文翻译：

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随机波动率模型下两个平均价格最大值的定价期权

摘要

在本文中，我们在随机波动率模型下对两个平均价格的最大值的期权进行估值。在所提出的框架中，获得了两个平均价格最大值的期权的明确定价公式。最后，我们通过数值例子来说明两个平均价格最大值的期权价格和两个标的资产价格最大值的期权价格。