Equivalent Martingale Measure in Asian Geometric Average Option Pricing
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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
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
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http://dx.doi.org/10.1086/260062
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[4] Martin, B. (1997) Finacial Calculus. Cambridge University Press, Cambridge.