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.