Ӧ�ø���ͳ�� 2007, 23(3) 238-246 DOI:      ISSN: 1001-4268 CN: 31-1256

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Pricing for European Weighted Geometric Average Value Asian Option
Wei Zhengyuan
Department of Statistics, Management School of Fudan University;College of Mathematica Scientia, ChongQing Institute of Technology
Abstract: Based on the theory of Asian option valuation, we established a model for underlying asset price with a mixed diffusion process involving source of jump. Continuous component is modeled as geometric Brown motion to characterize its ``normal'' revolution and discontinuous component is modeled as jump with a Poisson process in conjunction with random jump size, and jump size has a log-normal distribution. By applying It\^{o}-Skorohod formula and equivalent martingale measure transformation within the framework of our model, we derived a closed form analytic solution for European weighted geometric average value Asian option, in addition to that, some other general forms are discussed.
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