The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:344

Article

Shokrollahi, Foad¹ 

[1] Univ Vaasa, Dept Math & Stat, POB 700, FIN-65101 Vaasa, Finland

关键词: Mixed fractional Brownian motion;    Geometric Asian option;    Power option;    Time changed process;   

DOI  :  10.1016/j.cam.2018.05.042

来源: Elsevier

【 摘 要 】

In this paper, the geometric Asian option pricing problem is investigated under the assumption that the underlying stock price is assumed following a mixed fractional subdiffusive Black-Scholes model, and the geometric average Asian option pricing formula is derived under this assumption. We then apply the results to value Asian power options on the stocks that pay constant dividends when the payoff is a power function. Finally, lower bound of Asian options and some special cases are provided. (C) 2018 Elsevier B.V. All rights reserved.

【 授权许可】

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