The Pricing Of Asian Call Option With Geometric Average Floating Strike

In the continuous development of financial markets,there are not only standard option such as European and American Option in the derivatives market,but also a large number of new varieties derived from standard options.Asian option is one of them.Asian option is one of the new option that are currently very active in the financial derivatives market.It is generated by standard options and plays a very important role in the exchange rate and bond markets.Option pricing is a hot issue.Especially for the more complicated Asian option pricing research is of great significance.In this paper,we put forward the pricing formula of Asian call option with geometric average floating strike,The paper is divided into five chapters.The first chapter is introduction.We introduce the research background,research significance,research status of Asian options and structure of the paper;The second chapter is preparedness.We introduce the symbols,definitions,lemma,basic theorem and Black-S choles model related to Asian option pricing;The third chapter is the Classical Pricing Theory Analysis of Asian Options.The paper mainly introduces the pricing formula of Asian call option with geometric average fixed strike,the pricing formula of Asian call option with arithmetic average floating strike,the pricing formula of Asian call option with arithmetic average fixed strike;In the fourth chapter,we give the pricing formula of Asian call option with geometric average floating strike and the ?tfunction;The fifth chapter is about the summary and prospect.This chapter mainly summarizes the conclusions and prospects.