The Pricing Of The European Geometric Average Asian Option Driven By The Levy Process

During the last decades, the research on the financial derivatives has got a great development. There are many kinds of approaches to price the options.In the essay, we will mainly discuss the pricing of the European geometric average Asian option driven by the Levy process. In this condition, we get the difference between the traditional B-S model which driven by the Brownian motion and the model in this paper which is driven by the Levy process. Then we will draw into the Asian option pricing model and compensate it, in details, we offset the uncertain one in the stochastic differential equation (S.D.E), then we get a new partial differential equation (P.D.E) without the uncertain account. To solve this P.D.E, we successed to get the pricing model of the European geometric average Asian option driven by the Levy process.