Fixed-income average options: a pricing approach based on Gaussian mean-reverting cyclical models
研究了固定收益欧式亚式期权和澳式期权的定价，在利率期限结构服从高斯均值回归周期模型下，给出了几何平均期权的闭式解，并用数值方法计算算术平均期权价格，还做了敏感性分析。
Abstract This paper values fixed-income (discrete- and continuous-time) European Asian and Australian options. We assume that the term structure of interest rates is modelled by the specification proposed in Moreno et al. (Econ Model 72:140–150, 2018, https://doi.org/10.1016/j.econmod.2018.01.015 ). We obtain closed-form expressions for the premiums of geometric average options and, for arithmetic average options, premiums are computed by numerical methods. We also perform a sensitivity analysis with respect to different parameters for both (geometric and arithmetic) options.