Approximation Method of Pricing American-Style Asian Option in Fractional Black-Scholes Model

机译：分数Black-Scholes模型中的美式亚洲期权定价逼近方法

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For deriving the approximate formula of American-style Asian option in the fractional Black-Scholes model, this paper take the American-style Asian put Option as example. First, derived the formulas of European-style geometric average Asian option with fix strike price by partial differential equation method briefly. Based on the formulas, the quadratic approximation in the standard Black-Scholes model is applied to pricing American-style geometric average Asian option with fix strike price and obtained approximate formulas. Finally, derived approximate formulas by quadratic approximation from another perspective and obtain the same result.

机译：为了在分数Black-Scholes模型中推导美式亚洲看跌期权的近似公式，本文以美式亚洲看跌期权为例。首先，通过偏微分方程法，简要推导了具有固定执行价格的欧式几何平均亚洲期权的公式。基于这些公式，将标准Black-Scholes模型中的二次逼近用于使用固定行使价对美国风格的亚洲平均几何期权进行定价，并获得近似公式。最后，从另一个角度通过二次逼近导出近似公式，并获得相同的结果。

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《International Conference on Measuring Technology and Mechatronics Automation》|2017年|276-278|共3页
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Lin Hanyan;
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Mathematical model; Pricing; Europe; Brownian motion; Modeling; Partial differential equations; Standards;

机译：数学模型;定价;欧洲;布朗运动;建模;偏微分方程;标准;

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2. A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL [J] . DAN SHAO International journal of theoretical and applied finance . 2006,第8期

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4. Approximation Method of Pricing American-Style Asian Option in Fractional Black-Scholes Model [C] . Lin Hanyan International Conference on Measuring Technology and Mechatronics Automation . 2017

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Approximation Method of Pricing American-Style Asian Option in Fractional Black-Scholes Model

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