Abstract In this paper, the pricing problems of geometric average Asian options are studied under the nonlinear Black-Scholes model. Firstly, the partial differential equations for the Asian options are transformed into a series of parabolic equations with constant coefficients by the perturbation method of single-parameter. Secondly, the approximate pricing formulae of the geometric average Asian options are given by solving those parabolic equations with constant coefficients. Finally, the error estimates of the approximate solutions are given by using Green function.
LI Zhi-guang, KANG Shu-gui. The pricing of geometric average Asian options under the nonlinear Black-Scholes model. Applied Mathematics A Journal of Chinese Universities, 2016, 31(1): 39-49.
