Journal of East China Normal University(Natural Science) >

2017 >Issue 3: 29 - 38

DOI: https://doi.org/10.3969/j.issn.1000-5641.2017.03.003

Mathematics

Pricing Asian option under mixed jump-fraction process

  • GENG Yan-jing ,
  • ZHOU Sheng-wu
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  • Department of Mathematics, China University of Mining and Technology, Xuzhou Jiangsu 221008, China

Received date: 2016-06-23

  Online published: 2017-05-18

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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

Cite this article

GENG Yan-jing , ZHOU Sheng-wu . Pricing Asian option under mixed jump-fraction process[J]. Journal of East China Normal University(Natural Science), 2017 , (3) : 29 -38 . DOI: 10.3969/j.issn.1000-5641.2017.03.003

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