Journal of Applied Mathematics

Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

Di Pan, Shengwu Zhou, Yan Zhang, and Miao Han

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Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian option value were obtained. The numerical experiments show that Hurst exponent of the fractional Brownian motion and transaction cost rate have a significant impact on the option value.

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J. Appl. Math., Volume 2013 (2013), Article ID 352021, 6 pages.

First available in Project Euclid: 14 March 2014

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Pan, Di; Zhou, Shengwu; Zhang, Yan; Han, Miao. Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion. J. Appl. Math. 2013 (2013), Article ID 352021, 6 pages. doi:10.1155/2013/352021.

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