Pricing Asian option under mixed jump-fraction process

doi:10.3969/j.issn.1000-5641.2017.03.003

Abstract

Abstract: This paper mainly studied the geometric average Asian option pricing on the condition that the underlying asset followed mixed jump-fraction process. The general Itô's lemma and the self-financing dynamic strategy were obtained by using the partial differential equation of such option pricing in the mixed fractional environment with jump. With the combination of boundary condition, an analytic formula for the geometric average Asian option was derived by solving the partial differential equation. The numerical experiments were showed to discuss the influence of different parameters on the option value. The results were the generalization of some existing results which was closer to the real financial market.

Key words: mixed jump-fraction process, geometric average Asian option, partial differential equation

CLC Number:

O211.6

GENG Yan-jing, ZHOU Sheng-wu. Pricing Asian option under mixed jump-fraction process[J]. Journal of East China Normal University(Natural Sc, 2017, (3): 29-38.

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