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2013 Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
Di Pan, Shengwu Zhou, Yan Zhang, Miao Han
J. Appl. Math. 2013(none): 1-6 (2013). DOI: 10.1155/2013/352021

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.

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Di Pan. Shengwu Zhou. Yan Zhang. Miao Han. "Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion." J. Appl. Math. 2013 1 - 6, 2013. https://doi.org/10.1155/2013/352021

Information

Published: 2013
First available in Project Euclid: 14 March 2014

zbMATH: 06950629
MathSciNet: MR3138986
Digital Object Identifier: 10.1155/2013/352021

Rights: Copyright © 2013 Hindawi

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