标题： 亚洲期权在NIG和VG Levy市场中的定价 显示英文标题

标题： Pricing Asian options for NIG and VG Levy markets

摘要： 在本工作中，我们研究了在指数 Levy 市场情况下的亚式期权的价值。 更具体地说，我们关注的是 NIG（正态逆高斯）和 VG（方差伽马）模型。 指数 Levy 模型会产生不完全市场。 因此存在无限多个等价鞅测度。 我们感兴趣的是构建风险中性测度的两种方法。 第一种基于 Esscher 变换，另一种则是在轨迹的动力学中引入风险中性修正。 根据得到的数值结果，这两种方法通常会产生相同的价格。 显示英文摘要

摘要： In this work, we study the value of an Asian option in the case of exponential Levy markets. More specifically, we are interested in the NIG (normal inverse Gaussian) the VG (variance gamma) models. The exponential Levy models produce incomplete markets. There are therefore an infinite number of equivalent martingale measures. We are interested in two methods of constructing of the risk-neutral measures. The first is based on the Esscher transform, and the other consists of bringing a risk-neutral correction on the dynamics of the trajectories. It turns out, according to the numerical results obtained, that the two methods generally produce the same prices.