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.
KEYWORDS
Asian Geometric Average Options, Equivalent Martingale Measure, Black-Scholes Option Pricing Model, Strike Price
Asian Geometric Average Options, Equivalent Martingale Measure, Black-Scholes Option Pricing Model, Strike Price
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.
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.
[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.