The Asian Option Pricing Model With Constant Jumping And Its Application In The Real Options

This article mainly studied European Option and Geometric Average Asian Option pricing problem under constant jumping model and the application by the pricing results. The above result refer to a certain impact on the real option pricing.Since lots of phenomenons in real life are regarded to the options by the option theory developing deeply, the option analytic thinking and method are mostly replied in ?nancial market. The real option concept is the future choice is regarded to the subject matter. With the above conclusions, we can use the option pricing results to solve real option problems.In this thesis, we use martingale method of option pricing. We get this option pricing under the assumptions that the risk asset follows Poisson process and the constant jump-range. Unlike usual jump models, this assuming jump range is a constant.For we can make the the result get close to the actual situation. Firstly,we ?nd an equivalent martingale measure through Girsanov theorem and make the discount process under this measure. Finally in this measure, we get the return expectation discount of the tradable assets with the application of the Fundamental Theorem of Asset Pricing. We get the ?nal result by the Ito formula.Lastly,we summarize the European Option and Geometric Average Asian Option pricing formula under constant jumping model. and the application of real options for a real option case.Above all,the ?nal result of this article has a strong practicability. When apply it in practical, we only need to substitute the related parameters for the option pricing. At the same time, option pricing method which is used in the constant jumping model can be widely applied to various similar to the pricing of ?nancial derivatives research and it has a certain theoretical value.