Pricing Asian option under mixed jump-fraction process

GENG Yan-jing; ZHOU Sheng-wu

doi:10.3969/j.issn.1000-5641.2017.03.003

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May 2017

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GENG Yan-jing, ZHOU Sheng-wu. Pricing Asian option under mixed jump-fraction process[J]. Journal of East China Normal University (Natural Sciences), 2017, (3): 29-38. doi: 10.3969/j.issn.1000-5641.2017.03.003

Citation:

GENG Yan-jing, ZHOU Sheng-wu. Pricing Asian option under mixed jump-fraction process[J]. Journal of East China Normal University (Natural Sciences), 2017, (3): 29-38. doi: 10.3969/j.issn.1000-5641.2017.03.003

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Pricing Asian option under mixed jump-fraction process

doi: 10.3969/j.issn.1000-5641.2017.03.003

GENG Yan-jing,
ZHOU Sheng-wu^,

Department of Mathematics, China University of Mining and Technology, Xuzhou Jiangsu 221008, China

Received Date: 2016-06-23
Publish Date: 2017-05-25

Abstract

Abstract

This paper mainly studied the geometric average Asian option pricing on the condition that the underlying asset followed mixed jump-fraction process. The general Itô's lemma and the self-financing dynamic strategy were obtained by using the partial differential equation of such option pricing in the mixed fractional environment with jump. With the combination of boundary condition, an analytic formula for the geometric average Asian option was derived by solving the partial differential equation. The numerical experiments were showed to discuss the influence of different parameters on the option value. The results were the generalization of some existing results which was closer to the real financial market.
- mixed jump-fraction process,
- geometric average Asian option,
- partial differential equation

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References(17)

References

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