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Risk-neutral pricing for geometric average Asian options with floating strike
Received date: 2013-11-20
Revised date: 2014-04-29
Online published: 2015-01-15
Supported by
Supported by National Natural Science Foundation of China (10901161)
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
CAO Guilan , WANG Yong . Risk-neutral pricing for geometric average Asian options with floating strike[J]. Journal of University of Chinese Academy of Sciences, 2015 , 32(1) : 13 -17 . DOI: 10.7523/j.issn.2095-6134.2015.01.003
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