Summary: Under the assumption of the sub-fractional Ho-Lee stochastic interest rate model, this research firstly uses the delta hedging principle and establishes the partial differential equation of geometric average Asian options under the sub-fractional jump-diffusion process with transaction costs and dividends. Secondly, the pricing model is simplified to the Cauchy problem by using the variable substitution. Finally, a numerical solution of the pricing model is given by using the finite difference method and the composite trapezoid method. An example is also given to verify the effectiveness of the algorithm design.