An Adjusted Binomial Model For Pricing Asian Options In Diffusion Models

This paper extends the results of the paper[14](2006)．We mainly study theadjusted binonfial model for pricing asian options in diffusion models．The paper[14](2006)firstly obtained a type ofmethod for pricing asian options．Then,through the paper[16](2007),this paper introduces the concept of" the rareevenf',improvesthemethodandextendsittothejumpdiffusionmodel．Firstly,themethod through the thought of the indicator function is improved．After themethod ex~nded we give out two conclusions,which are two different of conclu—sions about the occurance of the rare event whether to change the selection of thepath on the representative averages．Secondly,according to the conclusion whichis proved by the literature[37](2007),comparing with the linear interpolation ofthe literature[14],we use convergence faster parabolic interpolation in order to in—crease the precision of calculation results．Finally,the data calculation results ofthe two propositions by matlab progranuning are obtained．Compared with thedata bv the use of Monte Carlo Simulation．we obtained the conclusion．...