A Study On Asian Option Trinomial Pricing Model

According to the binary tree model and trigeminal tree model in four different assumptions and conditions analysis and solve the equations, respectively, in a variety of assumptions and conditions for a given formula. In this paper, integrate in a variety of scenarios under the binary tree and the trigeminal tree model and give formula. Last we give the Asian option pricing model numerical calculation under the trigeminal tree and the binary tree.This paper is divided into five chapters were discussed.The first chapter is introductory part. this paper introduces the research background, significance, reviewed options including the concept of option pricing theory, probability and some prior knowledge. Finally, described the main content of this text.Chapter II is the basis of knowledge. Take arithmetic average pricing model and geometric average pricing model for example, described the Asian option pricing model.Chapter III is the foundation part. First, we leads binary tree model from the Black-Scholes option pricing differential equations. Followed by the binary tree method under the four model assumptions (structural model), and give the formula for that. Then we take discrete circumstances finalized floating prices for example, give the geometric average Asian option pricing formula. Finally, write a binary tree on the Monte - Carlo simulation method steps.Chapter IV is the main part. Analysis the trigeminal tree model under the four model assumptions (structural model).and analysis the deviations from the convergence.Finally, there is concluding remarks. This paper summarized the content and the work pending further progress.