Pricing Asian options of discretely monitored geometric average in the regime-switching model

摘要

This paper provides analytic pricing formulas of discretely monitored geometric Asian options under the regime-switching model. We derive the joint Laplace transform of the discount factor, the log return of the underlying asset price at maturity, and the logarithm of the geometric mean of the asset price. Then using the change of measures and the inversion of the transform, the prices and deltas of a fixed-strike and a floating-strike geometric Asian option are obtained. As the numerical results, we calculate the price of a fixed-strike and a floating-strike discrete geometric Asian call option using our formulas and compare with the results of the Monte Carlo simulation. Copyright (C) 2016 John Wiley & Sons, Ltd.