The Pricing For A Type Of Arithmetic Average Asian Option

Asian option is one of the Exotic options, it has been one of the most active Exotic options in financial markets. The pricing of Asian options have also been gradually becoming a hot issue on the research of the derivative assets pricing.In this paper, we study a new arithmetic average Asian options—Savings Asian options. It not only keeps the flexibility of Execution in advance for pricing American option,but also have more advantages than classic Asian option. In the hypothesis of risk neutral,we lucubrate the pricing for Savings Asian options in the uniform binomial tree stock price model, and give the numerical method of approximate calculation for pricing this type of options. This algorithm calculate the approximation of Asian option’s expected payoff by selecting representative state random, and give the error bound and degree of confidence at the same time. It overcome the limitations of AMO algorithm when selecting the state for pricing Asian option which will be more perfect and more close to reality in theory.