抄録
This article aims to express the pricing formula of Asian option via utility indifference pricing and examine the effects of the stochastic volatility on the option price. We consider the pricing problem for Asian option under the stochastic volatility, and derive approximated utility indefference price for the option. In order to express Asian option pricing formula by probabilistic form, we use the approximation scheme for utility indifference pricing. We further explore that the effects of the skewness for the return of the underlying on Asian option price by numerical scheme as examined in Heston(1993).
