Geometric Average Asian Option Pricing for Uncertain Financial Market

摘要

Asian options are among the most popular path-dependent options in financial market whose payoffs depend on the average value of underlying asset throughout the life of the option. There are two types of Asian options: geometric average Asian option and arithmetic average Asian option. In this paper, the geometric Asian option pricing problem is investigated under the assumption that the underlying stock price is assumed following an uncertain differential equation, and the geometric average Asian option pricing formulae are derived under this assumption.