Abstract: By studying the Asian option with fixed striking price and combining the pricing formula of the European op-tion with Transaction Costs‚the securities combination technology and the nonarbitrage theory were applied to a nonlinear pricing model of the option with Transaction Costs．This model is based on the Black－Scholes model．By reducing and analyzing the equation‚the nonlinear model was then transformed into Cauchy problem in certain conditions‚thus a specific pricing formula of the Asian option with Transaction Costs was deduced．

Key words: Transaction Cost, sian option, pricing formula