Study On The Pricing Of Asian Options In Fractional Brownian Motion

As a kind of strong path dependence options, Asian options are one of the normal exotic options and their execution are dependent on the stock average price. For the decreasing of the influence of stocks value, the price of Asian options is lower than the standard option, therefore it is more popular in the currency and the commodity markets.This article is a fractional Brownian motion to characterize the changes in stock prices, transplants the actuarial option pricing approach to the pricing of Asian options. Actuarial option pricing approach, which turns the pricing of standard options into an equivalent fair premium determination. The main advantage of this approach is that the premise does not involve in any economic assumption,and can be use in the arbitrage,not well balanced and incomplete market.establish of a Asian option pricing model. Based of the former conclusions of others and some works of myself, the article extended an actuarial approach on Asian option pricing formula when underlying assets driven by geometric fractional Brownian motion.