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›› 2015, Vol. 32 ›› Issue (1): 13-17.DOI: 10.7523/j.issn.2095-6134.2015.01.003

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Risk-neutral pricing for geometric average Asian options with floating strike

CAO Guilan, WANG Yong   

  1. School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing 100049, China
  • Received:2013-11-20 Revised:2014-04-29 Online:2015-01-15
  • Supported by:

    Supported by National Natural Science Foundation of China (10901161)

Abstract:

Asian options are path dependent contingent claims whose terminal payoff depends on the average of underlying asset price over some period prior to maturity. Using change of numéraire as a tool, we illustrate how to derive price formulae for the discrete and continuous geometric average Asian options with floating strike price by risk-neutral valuation approach.

Key words: Asian options, floating strike price, risk-neutral pricing, change of numé, raire

CLC Number: