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

• 作者: Huisheng Shu Xin Zhang Xiu Kan Yingyi Fang Zhiwei Zheng
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: Arithmetic Average Asian Call Option DISCRETE DIVIDENDS Geometric BROWNIAN Motion Markov-Modulated VOLATILITY BINOMIAL Tree
• 年，卷（期）: 2017,（6）
• 页码范围: 1067-1080
• 页数: 14页
• 分类号: O21

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.