The Research Of Pricing Problem Of Asian Option

With the rapid development of financial industry, a variety of new financial derivativeproducts emerge. As an important derivative security, option is not only an e?ective meansof hedging, but also a wonderful way of speculation, this makes the price of option getmuch attention of investors and speculators.The researches of options pricing are very wide, but they often assume that theoption has no credit risk. This assumption is usually reasonable for the exchanged-tradedoptions, however, it's not established in the OTC market. Asian options, as one of thenew options, are traded mainly in the OTC market, so most asian options have creditrisk.This paper focuses on the pricing of Asian options, divided into four chapters:The first chapter is the introduction, describes the background of writing paper, thedefinition and payment of Asian option.The second chapter discusses the pricing of partial average payo? Asian option, As-suming the average price only depends on the life of the option of part-time, applying riskneutral pricing principle, we get the pricing formula of continuous partial average payo?Asian option.The third chapter discusses the pricing of default geometric average Asian optionunder the structural model, taking into account the Correlation of the underlying assetand the enterprise value, we get the pricing formulas of default Asian option when theenterprise debt is a function or random process, and discusses the parity relationship ofcall and put options.The fourth chapter discusses the pricing of default geometric average Asian optionunder the Reduced-form model, a non-homogeneous poisson process with intensityλ(t)isused to describe the process of default, we get the pricing formula of default Asian option.