Zhang Zeng-lin
Abstract
The pricing question of Asian geometric option of stock prices driven by exponential Ornstein-Uhlenback process is discussed.By the martingale methods,the pricing formula of Asian geometric average options with fixed strike price are obtained.
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The pricing question of Asian geometric option of stock prices driven by exponential Ornstein-Uhlenback process is discussed.By the martingale methods,the pricing formula of Asian geometric average options with fixed strike price are obtained.
Key concepts: Asian option, Exponential function, Stock price, Martingale (probability theory), Econometrics, Economics, Financial economics, Stock (firearms)