The Pricing Of The Quanto Asian Options

Along with the globalization of finance and trade, more and more investors choose quanto derivative products especially quanto option to get profit and avoid the risk.Quanto option can let investors to invest across border because of its wide investment and open zone.As one of the most active exotic options in the financial markets, Asian option’s profits depends on the average price of the asset within the validity period because of the path dependence. Therefore, it has following advantages: first, the price is relatively cheap; second, the risk is relatively small and the income is relatively stable, which conduce to investors to hedge; third, it can prevent speculators to manipulate the market effectively and ensure the fairness of the market.Quanto Asian option is a combination of these two options. It not only has the characteristics of quanto option, but also has the characteristics of Asian option. It will be more popular on financial markets.In this paper, assuming that the domestic and foreign interest rates are constant, we introduce fixed strike price of geometric average quanto Asian option and floating strike price of geometric average quanto Asian options in the four different income. And we obtain the pricing formulas by using the Esscher transform, measure transformation and multi-dimensional Girsanov theorem.