Journal of Jishou University(Natural Sciences Edition)

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Pricing Asian Options in  Markov-Modulated Geometric Brownian Motion Model

LIU Yuanyuan   

  1. (School of Applied Mathematics,Nanjing University of Finance and Economics,Nanjing 210023,China)
  • Online:2016-11-25 Published:2016-12-13


The problem of pricing Asian option in a Markov-modulated geometric Brownian motion (GBM) is studied.Under the assumption that dynamics of risky asset is driven by Markov-modulated GBM,we obtain the explicit analytical formula of Asian options with fixed strike price and partial differential equations of Asian options by martingale method and PDE method.

Key words: geometric Brownian motion, Markov-modulated model, Asian options, pricing

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