Pricing Asian Geometric power option

• Main Authors: Zih-Jie Li, 李咨頡
• Other Authors: Hong-Kun Xu
• Format: Others
• Language: en_US
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/29307280119612065349

碩士 === 國立中山大學 === 應用數學系研究所 === 102 === An Asian option is a path dependent derivative whose values depend upon the price of the underlying asset over some time interval [t_0,T] with T being the expiration time of the option and 0< t_0<T. In this article, we consider the case where the price of the underlying asset $S$ is raised to a certain power, that is, S ^α with α>0 a given constant.We will consider the case of geometric averages which is then known as the Asian geometric power option. The main result of this article is to derive a closed-form pricing formula of this Asian geometric power option.