journal6 ›› 2006, Vol. 27 ›› Issue (6): 1-5.

• Mathematics •     Next Articles

Pricing of Asian Options with Discrete Geometric  Average in the Jump-Diffuse Process


  1. (School of Mathematics and Statistics,Yunnan University,Kunming 650091,China)
  • Online:2006-11-25 Published:2012-06-28

Abstract: When important information is declared in the stock market,stock price will jump.In this paper,when stock price is in the Ito-Skorohod jump-diffuse process,the authors  study the pricing of Asian options with discrete gemotric average and obtain it’s price formulas.

Key words: Asian option, Ito-Skorohod stochastic partial differential equation, geometric average

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