假设股票价格受分数布朗运动驱动下,利用拟条件期望的方法,得到了浮动执行价格的几何平均亚式期权定价公式。
Under the assumption that the stock pricing processes obeys the stochastic differential equation driven by fractional Brownian motion, the pricing formula of geometric average Asian option with floated-strike was obtained by using the quasi-conditional expectation.