Abstract
Y.Hishida and K.Yasutomi[4] give a numerical method for pricing path dependent options. This method uses the Markov property and the temporal homogeneity property for each underlying asset process. This enables us to approximate a path dependent option by using some kinds of plain vanillas. This approximate method is valid for diverse processes and path dependent options. Y.Hishida and K.Yasutomi[2] give a numerical examination for Asian option when the underlying asset behaves as geometric Brownian motion. In this paper, we give a numerical examination for Asian option when underlying asset behaves as geometric normal inverse Gaussian process.
