journal6 ›› 2009, Vol. 30 ›› Issue (3): 28-30.

• Mathematics • Previous Articles     Next Articles

Geometric Average Asian Option Pricing from the Price of Stock Dividends-Payment

  

  1. (College of Mathematics and Information Science,Shannxi Normal University,Xi’an 710062,China)
  • Online:2009-05-25 Published:2012-04-23

Abstract: Under the circumstances of time-dependent interest rate r(t)  of riskless asset,dividend payment of risk asset,time-dependent expected return μ(t),volatility σ(t)  and dividend yieldρ(t),the authors use martingale to establish a pricing model of geometric Asian options with floating strike price.

Key words: martingale, geometric Asian options, floating strike price, dividend

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