The Asian Option Pricing when Discrete Dividends Follow a Markov-Modulated Model  

作　　者：Yingyi Fang Huisheng Shu Xiu Kan Xin Zhang Zhiwei Zheng 

机构地区：[1]School of Science, Donghua University, Shanghai, China [2]School of Electronic and Electrical Engineering, Shanghai University of Engineering Science, Shanghai, China

出　　处：《Open Journal of Statistics》2017年第6期1067-1080,共14页统计学期刊（英文）

摘　　要：This paper is concerned with the pricing problem of the discrete arithmetic average Asian call option while the discrete dividends follow geometric Brownian motion. The volatility of the dividends model depends on the Markov-Modulated process. The binomial tree method, in which a more accurate factor has been used, is applied to solve the corresponding pricing problem. Finally, a numerical example with simulations is presented to demonstrate the effectiveness of the proposed method.This paper is concerned with the pricing problem of the discrete arithmetic average Asian call option while the discrete dividends follow geometric Brownian motion. The volatility of the dividends model depends on the Markov-Modulated process. The binomial tree method, in which a more accurate factor has been used, is applied to solve the corresponding pricing problem. Finally, a numerical example with simulations is presented to demonstrate the effectiveness of the proposed method.

关 键 词：Arithmetic Average Asian Call Option DISCRETE DIVIDENDS Geometric BROWNIAN Motion Markov-Modulated VOLATILITY BINOMIAL Tree 

分 类 号：O21[理学—概率论与数理统计]