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Zhu Y.G. (2009) Applications of Equivalent Martingales Model in Pricing Warrants. Proceedings of Conference on International Institute of Applied Statistics Studies, Recent Advance in Statistic Application and Related Areas, Sydney, 209-212.

has been cited by the following article:

• TITLE: Equivalent Martingale Measure in Asian Geometric Average Option Pricing

  AUTHORS: Yonggang Zhu

  KEYWORDS: Asian Geometric Average Options, Equivalent Martingale Measure, Black-Scholes Option Pricing Model, Strike Price

  JOURNAL NAME: Journal of Mathematical Finance, Vol.4 No.4, August 28, 2014

  ABSTRACT: The general situation of the Black-Scholes Option Pricing Model was discussed under the assumption of the arbitrage-free market, and the pricing of Asian geometric average options with fixed strike price was analyzed at any valid time. Consequently, the price formula of the Asian geometric average options was drawn using the equivalent martingale measure and the significance of the study was also indicated.