J4 ›› 2013, Vol. 48 ›› Issue (3): 48-52.

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Geometric average asian option pricing in fractional brownian environment

SHEN Ming-xuan1, HE Chao-lin2   

  1. 1. School of Mathematics and Physics, Anhui Polytechnic University, Wuhu 241000, Anhui, China;
    2. School of Management Engineering, Anhui Polytechnic University, Wuhu 241000, Anhui, China
  • Received:2012-09-04 Online:2013-03-20 Published:2013-03-14

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Abstract:

 Under the assumption that the stock pricing processes obeys the stochastic differential equation driven by fractional Brownian motion, the pricing formula of geometric average Asian option with floated-strike was obtained by using the quasi-conditional expectation.

Key words: geometric average; fractional Brownian motion; Asian options; floated-strike

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