Study On Asian Option Pricing

With the gradual development of financial market, options as the most basic derivative securities play more and more important role. In the recent years, international financial derivative market not only trade European and American standard options which are familiar with people, but also appear a quantities of new kinds which are changed,combined from the standard options, one of them is Asian option. Therefore, options pricing is popular issue, particularly to complicated Asian option, its pricing has a very important significance.The text puts forward a new trinomial tree model to study the solution of Asian option. The text consists of 5 chapters.In chapter 1, we introduce the basic option theory, including conception, classification, function, price, impacting factor, history and so on.In chapter 2, we introduce B-S pricing model,expanding and revising of B-S pricing model and some numerical methods. On the basis of B-S model and a new type of binomial tree model, a new type trinomial tree is constructed by mean of connection of origin moment and central moment. The new type trinomial tree model overcomes the defects of the binomial tree model.It is proved that the equation of option value under trinomial tree model and B-S equation is relativity. Meanwhile, I take European option and American option for example to identify the trinomial tree pricing model.In chapter 3, we introduce the pricing formula of arithmetic average Asian option and geometric average Asian option and then apply the new trinomial tree model to European and American geometric average Asian option, which not only solved Asian option inherent complexity and the difficulty of calculation, but also verified efficiency and convergence from examples.In chapter 4, we put emphasis on discussing the application of Asian option in bond contract and indentify existed some conclusions by examples.