Bounds For The Price Of Asian Options With Paying Dividends

This paper has a fixed strike price of the arithmetic average Asian options as the research object, and use the standard binomial model (CRR) pricing model for its pricing model. By the improvement of the Roger and Shi price boundary model and the RVDD price boundary model,the paper has a research to the size boundary influence on the expectation value of Asian option in the due date when pay dividend rate p to it.Frist, the second part of the paper introduced Roger and Shi price boundary model, RVDD price boundary model ,Chalasani price boundary model and Vanmaele(2002) price boundary model when the Asian option doesn't pay dividend rate p , and through a example result analysis the explanation ofσ, K,nto result influence as well as carries on the comparison to the four model's precise degrees.Finally, The primary coverage is under the premise of paying dividend rate to Asian option, makes the improvement to Roger and Shi price boundary model and the RVDD price boundary model. Becanse of paying dividend rate p , the annticipated returns ratio of a call option drops, a put option'is expected to rise. But in the CRR model the primary property's risk neutral probability measure p can therefore change,so the rise and the drop probability P also changes, thus affects the price boundary model in the due date. For confirm to the two model improvements whether to succeed, The third part also gives a value example, and through the analysis on the lower boundary burst length with the payment of dividend rate q, obtains the improvement model's result is more accurate.