JMF  Vol.4 No.4 , August 2014
Equivalent Martingale Measure in Asian Geometric Average Option Pricing
Author(s) Yonggang Zhu
ABSTRACT
The general situation of the Black-Scholes Option Pricing Model was discussed under the assumption of the arbitrage-free market, and the pricing of Asian geometric average options with fixed strike price was analyzed at any valid time. Consequently, the price formula of the Asian geometric average options was drawn using the equivalent martingale measure and the significance of the study was also indicated.

Cite this paper
Zhu, Y. (2014) Equivalent Martingale Measure in Asian Geometric Average Option Pricing. Journal of Mathematical Finance, 4, 304-308. doi: 10.4236/jmf.2014.44027.
References
[1]   Black, F. and Scholes, M. (1973) The Pricing of Options Corporate Liabilities. Journal of Political Economy, 81, 637-659.
http://dx.doi.org/10.1086/260062

[2]   Zhu Y.G. (2009) Applications of Equivalent Martingales Model in Pricing Warrants. Proceedings of Conference on International Institute of Applied Statistics Studies, Recent Advance in Statistic Application and Related Areas, Sydney, 209-212.

[3]   Kong, F.L. (1998) Large Number Laws for Banach Space-Valued Amart. Acta Mathematica Sinica, 41, 667-672.

[4]   Martin, B. (1997) Finacial Calculus. Cambridge University Press, Cambridge.

 
 
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