Affiliations: [a] College of Mathematical and System Sciences, Xinjiang University, Urumqi, China
| [b] School of Information Science and Engineering, Xinjiang University, Urumqi, China
Correspondence:
[*]
Corresponding authors. Yuhong Sheng, College of Mathematical and System Sciences, Xinjiang University, Urumqi 830046, China. E-mail: sheng-yh12@mails.tsinghua.edu.cn and Gang Shi, School of Information Science and Engineering, Xinjiang University, Urumqi 830046, China. E-mail: sg11@ mails.tsinghua.edu.cn.
Abstract: Asian option is known as a derivation financial product. And uncertain finance takes uncertain situation into account, and there comes uncertain stock models based on uncertain theory. This paper follows the mean-reverting stock model which based in uncertain situations presented by Liu. The mean-reverting model under asian option is discussed in this paper. This paper deals with the problem of pricing an Asian currency option. Based on the principle of making fair deal, the pricing formula is verified. Furthermore, a simple discussions about the situation of single variable in the option pricing model are also drawn in this paper. Basic relations between parameters and result are also discussed.
