One-state variable binomial models for European-/American-style geometric Asian options
针对收益取决于标的资产几何平均的几何亚式期权，基于Cox等人的套利论证和Cheuk与Vorst的思想，开发了单状态变量二项式模型，比现有格点法更高效快速，并证明了模型与某些差分格式的等价性。
This paper is concerned with geometric Asian options whose pay-offs depend on the geometric average of the underlying asset prices. Following the Cox et al (1979 J. Financial Economics 7 229-63) arbitrage arguments, we develop one-state variable binomial models for the options on the basis of the idea of Cheuk and Vorst (1997 J. Int. Money Finance 16 173-87). The models are more efficient and faster than those lattice methods (for the options) proposed by Hull and White (1993 J. Derivatives 1 21-31), Ritchken et al (1993 Manage. Sci. 39 1202-13), Barraquand and Pudet (1996 Math. Finance 6 17-51) and Cho and Lee (1997 J. Financial Eng. 6 179-91). We also establish the equivalence of the models and certain difference schemes.