Under the circumstances of time-dependent interest rate r(t) of riskless asset,dividend payment of risk asset,time-dependent expected return μ(t),volatility σ(t) and dividend yieldρ(t),the authors use martingale to establish a pricing model of geometric Asian options with floating strike price.

The model suggests the underprcing of IPOs in autions and book-building mechanisms are both lower than the one in fixed price mechnism, except for the signals from the informed institutional investors are all bad.