Study On The Solution Of Asian Option Pricing With Transaction Costs Under The CVE Process

The development of financial derivatives is a new molody in the international financial fields now. As the core of financial derivatives, option becomes emphases of studying in theory and practice. Above all. it must be solved that how to price option and hedge risk.On the foundation of standard contract, more different characteristics exotic finance derivatives were designed in order to satisfy the finance market and the different investor especial needs, and keep away the risk which many investors might face. One of them is the Asian option, they are path dependent options whose payoffs depend on the meaning of underlying asset price attained over a certain period of time. It's more complicated to price the Asian option, because of the path dependence.People is dedicated to the studying on the Asian option pricing under geometric Browain movement previously, but few people study the option pricing under CEV process. CEV process is the generalization of geometric Browain movement. In the paper, I extend the Asian Option Pricing under the CVE Process, Studying on the solution of the geometric average Asian option pricing with transaction costs under the CEV process. I mostly discuss the following work: (l)studying differential equation of the geometric average Asian option pricing with transaction costs under the the CEV process;(2) seeking its approximate solution by the binomial tree, and the practicability of the conclusion is Calidatedo...