The Calculation Of The Options Pricing Under The Trinomial Tree Model

This paper solves the option pricing problem under the framework of The uncertain volatility model proposed by M.AVELLANEDA. A.LEVY and A. PAR AS in1995. The options established in our paper is Asian options. we mainly consider pricing for this options under the uncertain volatility model. we consider pricing in an environment where the volatility is not known precisely, but is assumed instead to lie between two extreme values amin and (σmax. we show that the extremal non-arbitragers prices for derivative asset which arise as the volatility paths vary in such a band can be described by a non-linear PDE. In this equation. the volatility is selected from the two extreme value σmin and σmax. In this paper, the pricing problem for arithmetic average Asian option is calculated based on the single stock model we can solve this equation by a simple algorithm, named finite-differencing or a trinomial tree.