The Price Problem Of Asian Options Under The Double Mean Reverting Model

In this dissertation,we consider the pricing problem of geometric average Asian options under the double mean reverting model.By the one-to-one correspondence between the characteristic function of the stock price and its probability density function,we derive the characteristic function of the stock price.Then employing the martingale pricing theory under the risk neutral measure,we give the pricing formula of geometric average Asian option with the help of Fourier transform.First in Chapter 2,we introduce the theory of Asian options,give the double mean reverting model for the Asian options problem and introduce the martingale pricing theory.Then in Chapter 3,we derive the characteristic functions of the path variables' logarithm of stock price with the help of Feynman-Kac formula.In the last Chapter,we give the pricing formulas of the geometric average Asian call option and put option,and compare the results of this dissertation with the results of the other mean reverting model.