Pricing by Geometric Average Asian Option in a Lévy Model
Qingxin Meng
Abstract
Qingxin Meng
Abstract
The paper examines the problem of pricing Asian options on a stock whose price process is modeled by a geometric Levy process.Using martingale methods,and choosing the stock as numeraire asset and corresponding equivalent martingale measure,the author gets the simple pricing formula by the Asian option in the case of geometric average.
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The paper examines the problem of pricing Asian options on a stock whose price process is modeled by a geometric Levy process.Using martingale methods,and choosing the stock as numeraire asset and corresponding equivalent martingale measure,the author gets the simple pricing formula by the Asian option in the case of geometric average.
Key concepts: Numéraire, Martingale pricing, Martingale (probability theory), Asian option, Mathematical economics, Economics, Mathematics, Econometrics