Journal of Jianghan University(Natural Science Edition) ›› 2013, Vol. 41 ›› Issue (1): 31-34.

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Model of Asian Option Pricing Driven by O-U Process with Dividend Payment

ZHAO Pan   

  1. School of Applied Mathematics，West Anhui University，Liuan 237012，Anhui，China
  • Online:2013-02-12 Published:2013-12-27

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Abstract: Asian option with dividend payments，driven by O-U process were studied by using the martingale and stochastic analysis method. The pricing formulas of the geometric average asianput and call option are obtained，under the circumstance that the stock price is driven by an expo?nential O-U process and has dividend payment.

Key words: O-U process, option pricing, martingale method, Asian option

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