The Pricing Of Asian Options And Programe

The option is the derivatives, which is designed to avoid facing the market risks. It can be proved that investors can get the benefit without risk if only they choose the right ratio of their investment, stocks and derivatives. On this portfolio we can find the way to price these derivatives stocks. In 1970s',Black and Scholes got the stochastic Partial Differential Equation differential equation, which successfully solved the problem of pricing the Euro Option without considering interest. This way we now call B-S model give us a very good idea to price options. After then many researches were made on some kinds of non-standard options. Because most of these options have the character of path-depending, and more factors have to be considered, the process of valuing is complicated and hard. Besides, only geometry style Asian Option has the analytics result, other styles has to get the sub-solution by ways of numerical value method. The Asian Option has so many kinds of styles, so we have to think over each type to model it.At first, we indicate the option and the Option Pricing Theory. Then we try to find the all-purpose pricing model suit for all kinds of path-depending options. In chapter 5 and 6 we give 8 styles of Asian Option, and do some research of mathematics to achieve each expression correctly. We will try to design some program sentences to solve the complicated math progress.