Asian Option Pricing Based Levy-Process

In recent years, financial markets flourish, Securities transactionsagain the most frequent, the largest trading volume, the flow offunds is also the largest, but also bear the greatest risk in the threefinancial trader. In options trading process,Asian options,which isa kind of exotic options that takes the average price, has a uniqueadvantage in the hedge. Therefore, it get more and more favoredby the financial markets. But the financial markets have complexand rapidly changing characteristics, which requires any kind offinancial product or derivatives pricing must have sufficientapplicability. This requires us to choose the right financial modelpricing of Asian options.For now, the general solution is to choose the right financial modeland to promote it into the Black-Scholes model. Because most ofthe previous Asian options pricing theory are under idealizedconditions and have a geometric weighted average or a weightedarithmetic average, but in practice it often influenced by variousfactors that make it deviate from the original track, so the existingthe Asian option pricing is necessary to do furtherpromotion.Therefore, Levy process included as a stronger, moregeneral, more general models are more and more attention.Research direction of this paper is carried out in this context.In thearticle, we will first introduced Levy-process to financial marketsand construct the stock price model under this process.Then,Webegan to study the geometric average Asian option pricing modelof discrete time.With the help of this result,we considering thegeometric average Asian option pricing of continuoustime.Finally, using the approximate relationship betweenthearithmetic mean and geometric mean,We try to analyzethe arithmetic average Asian option pricing.This paper summarizes the traditional option pricing process andintroduces emphatically the Asian option pricing,On the basis webriefly explore the Asian option pricing by Levy-process,and getthe pricing formula of the geometric average Asian option and thepossible way of solving the arithmetic average Asian option pricing.Although this paper is not perfect in theory, thestructure also is not complete, even there is notthe complete analysis process and the analytical expression in theexplicit formula form of for the arithmetic average Asianoption.But several commonly used process instruments in the lastpart of the analysis,we know that in most of the models under theassumption that we can get the way to solve.Overall, To someextent this article makes a good promotion and additions on theAsian option pricing traditional ideal environment.