The Asian Option Pricing Based On Ornstein-Uhlehbeck Process

In recent years，Asian options become popular in financial derivative market．Comparedwith standard options，Asian options have lower premium and hedge cost．And Asian optionspricing with the average， can reduce the chances that underlying assets aremanipulated．Because of the two advantages，they are favored by some companies．Thus thestudy of Asian options pricing meets the need of the market and has its realistic significance．In this paper，actuarial pricing method is used to study the Asian options pricing withstock price following the exponential Ornstein-Uhlenbeck process and interest rate accordingto the Hull-White model．The paper consists of six chapters．In chapter1，we introduce the basic knowledge of options，including the history anddevelopment of options，option market and options pricing theory，and what the paper focuson．In chapter2，we introduce the stock models，Ito lemma，Black-Sholes model and threepopular numerical methods．Give a MATLAB numerical analysis about Hurst exponent，design a Hurst exponent timing strategy，explain that this strategy achieved a very ideal effectwith an example and it is more suitable for long-term investors．In chapter3，we introduce the current situation，pricing methods and a few of classicformula of Asian options．In chapter4，we introduce the basic Ornstein-Uhlenbeck process and an exponentialOrnstein-Uhlenbeck process．The exponential Ornstein-Uhlenbeck process has regressioncharacteristic obviously compared with the basic one．If the stock price had deviated from itslevel，the model would try to make it back．Just because of this superiority it is to chosen todescribe the stock process．In chapter5，by using an actuarial pricing method，we study on Asian options pricing，which is based on exponential Ornstein-Uhlenbeck process combined with the Hull-Whitemodel．The reasons for selection of actuarial pricing methods is that it has advantage ofrelieveing contradiction between the famous Black-Sholes option of pricing too high and thestatistical one of pricing too low．Finally，four pricing formulas are got without consideringdividend payment，such as call options and put options of arithmetic average Asian options，and call options and put options of geometry average Asian options． In chapter6，we summarize this paper and suggest some prospect．...