## Journal of Applied Mathematics

### Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

#### Abstract

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.

#### Article information

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

Dates
First available in Project Euclid: 14 March 2014

https://projecteuclid.org/euclid.jam/1394808284

Digital Object Identifier
doi:10.1155/2013/352021

Mathematical Reviews number (MathSciNet)
MR3138986

Zentralblatt MATH identifier
06950629

#### Citation

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. https://projecteuclid.org/euclid.jam/1394808284

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