Asian Option Pricing Research

The maturity yield of Asian option depend on the average price of the underlying as-set over the duration of the option, which has plenty advantages, such as, low risk, cheap and uneasy to manipulation. Since been put forward, the study of the option is emerging. Meanwhile, The Fractional Brown motion has the long range correlation, and Stock price are influenced by various factors as well some correlation properties and dependence properties. Therefore, Fractional Brown motion can be close to describe the actual financial markets.In this paper, we focus on the problem of geometric average Asian option based on the way by fractional risk-neutral pricing theory, and give the theory of pricing formulas.The chapter 3 is given under the fractional dump diffusion environment deduced the Asian option pricing formula.The chapter 4 is given the interest rates obey Vasicek interest rates model and the fractional dump diffusion environment deduced the Asian option pricing formula.The chapter 5 is given the interest rates obey fractional Vasicek interest rates model and the fractional dump diffusion environment deduced the Asian option pricing formula.