Arithmetic Average Asian Option Pricing of Different Underlying Assets under Jump Diffusion Model
Because of the complexity of arithmetic average Asian option pricing,its pricing method has attracted much attention.For arithmetic Asian option pricing under three different underlying assets like zero coupon bond,average asset and stock,the method is based on the martingale measure of each asset,the partial differential equation of the arithmetic average Asian option is given by ITO'formula and Feynmankatz formula,respectively,and the corresponding final value conditions are given for the differential equations.The effectiveness of the method are verified by numerical simulation,which is helpful to apply the pricing formula to a wider financial market with stronger adaptability.
Asian optionjump diffusion modelnumerical simulation
万方数据
维普
