亞式選擇權是一種路徑相關的選擇權，它的報酬是依賴於一段時間股價的平
均。股價平均的時段可以是整個選擇權的有效時間或是從選擇權起始的某個時間點
至選擇權的執行時間。股價的平均可分為算術平均跟幾何平均。
本文中，我們計算出亞式乘冪選擇權的算數近似定價方法。在此定價公式中， 我們根據風險中性定價法以及利用線性近似的方式去求出近似的計價公式。

An Asia option is a path-dependent option whose payoff depends on the
average of the underlying asset price over a certain time interval. The time
interval can be the entire interval of the option's life from the initiation to
the expiration, or beginning from some time later than the initiation until the
option's expiration. The average can be arithmetic or geometric.
In this paper we derive an approximate pricing formula for the Asian arithmetic power option. The approximate valuation formula is obtained by the risk-neutral valuation method and the linear approximation method is used.

論文審定書 i
摘要 ii
Abstract iii
Introduction 1
An Approximate Pricing Formula for Asian Arithmetic Power Option 5
References 10

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