Asian option pricing with changing exercise price based on Omstein-Uhlenback process

The pricing option on a stock is considered by the exponential Omstein-Uhlenback process,which can reflect fluctuations in the appreciation rate of the underlying stock's price.In case that the risk-free rate depends on the time parameter,the pricing method for the geometric average Asian option with changing exercise prices is studied by means of the stochastic differential equation and the martingale method.The pricing formulas of geometric average Asian put option pricing and call option pricing with changing exercise prices are obtained,which obey the exponential Omstein-Uhlenback process.