{"entities":{"Q1714703":{"pageid":1725444,"ns":120,"title":"Item:Q1714703","lastrevid":56667609,"modified":"2026-03-18T14:27:53Z","type":"item","id":"Q1714703","labels":{"en":{"language":"en","value":"Asian option pricing with transaction costs and dividends under the fractional Brownian motion model"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 7010709"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$D03C165C-962D-409C-95CE-43934349FC4F","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"9b5c9f7fb78fc463d2c9a73f82617f38aaaab515","datavalue":{"value":{"text":"Asian option pricing with transaction costs and dividends under the fractional Brownian motion model","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1714703$9EBF62E3-596F-4BCC-BBB3-42EB1985BBE2","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"3adb3576cfe7f437737725a31cd174c1e2bca8c8","datavalue":{"value":"1406.91460","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$F1BC456E-CA3A-47E4-B1A9-0F1A66048EB9","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"e7f33e86cc72d2df2ba8da8b76f4af92f254274c","datavalue":{"value":"10.1155/2014/652954","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$8ABBCA0E-7311-4F5A-AA9D-009233386445","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"05fec685191ef220c8eb7e437b0201b1e8c5979c","datavalue":{"value":{"entity-type":"item","numeric-id":244693,"id":"Q244693"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$516A9ADE-1022-4D23-85E5-1DF7AAE4E1F5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"7345c0c8d25aae4f27678eaa031eb2fec0891bc8","datavalue":{"value":{"entity-type":"item","numeric-id":1714702,"id":"Q1714702"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$3841B066-7480-4348-8E59-D438011A9C68","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"eb1fa2d42eb9e570972c61b77220418f1fed8c6b","datavalue":{"value":{"entity-type":"item","numeric-id":434695,"id":"Q434695"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$7C09EB3C-5C12-488F-AE8E-745F6493C474","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"f379c30a415b7723aea05f1fbaf065f4d291a4e7","datavalue":{"value":{"entity-type":"item","numeric-id":723447,"id":"Q723447"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$45EDBF2C-DA9E-47B8-9D5B-6B43D917EE7B","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"bb299feb2b87699ac8beef494c52fd2765eaf609","datavalue":{"value":{"entity-type":"item","numeric-id":118601,"id":"Q118601"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$D456DDB9-3B3F-439E-964E-EFF80DF6EBF6","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"3f4145805478faad59761c3ff4a8cc3fff513172","datavalue":{"value":{"time":"+2019-02-01T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1714703$D95E8B0B-C852-4829-98AA-3AF65F905AD6","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"f830431867869ee429d2af8fe39775bc5681a680","datavalue":{"value":"Summary: The pricing problem of geometric average Asian option under fractional Brownian motion is studied in this paper. The partial differential equation satisfied by the option's value is presented on the basis of no-arbitrage principle and fractional formula. Then by solving the partial differential equation, the pricing formula and call-put parity of the geometric average Asian option with dividend payment and transaction costs are obtained. At last, the influences of Hurst index and maturity on option value are discussed by numerical examples.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1714703$5629FEEB-02FD-4316-9C37-9F9712F732EA","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$7B09D079-216F-45E0-B0F6-6BD436EE29E0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"9fa3e81bd1d73482efe437e765d72accba82d844","datavalue":{"value":"91G80","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$00E934BC-C4F4-4B77-BE89-0CB0765580DF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"a45c41232c6931f169bb879be71dd4b7ad0aa1d2","datavalue":{"value":"60G22","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$F6450B99-5289-4FCC-9AF9-437005B62BA0","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"fc178e791098c189978135a4e545168282856386","datavalue":{"value":"7010709","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$0E571C7E-44CB-40B0-9BC7-FFB51039248C","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$3A197F1B-A2B4-46D4-8BB6-BFDD7B8926D9","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"2489b7f71642217938de0d7f7e6be19268272e55","datavalue":{"value":"https://doi.org/10.1155/2014/652954","type":"string"},"datatype":"url"},"type":"statement","id":"Q1714703$A9C5ADB4-5A07-4EBB-B7C8-760AC7A62532","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"f538d2a1828503739b3469d95f8a55c2c43c672c","datavalue":{"value":"W1993347474","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$7DD907D2-D631-4763-BB53-34B1AE98171F","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"53b2878c6d141ef081dd24d17d6d8e65da464101","datavalue":{"value":"Q59053947","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$CDBD9624-D21B-463A-8738-C15F01ABCB49","rank":"normal"}],"P1635":[{"mainsnak":{"snaktype":"value","property":"P1635","hash":"a854d8941c709103fc6af332f643747be2934e82","datavalue":{"value":"journals/jam/ZhangPZH14","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1714703$06F77396-E98C-4589-B0C5-C5777C7326A5","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ea843589347a58417380a65f5c69ababfe390efb","datavalue":{"value":{"entity-type":"item","numeric-id":1789869,"id":"Q1789869"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ad96f7f453811c73a07f30ceced69063c9804744","datavalue":{"value":{"amount":"+0.9470088481903076","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1714703$79894C65-8EE2-42CE-B6C2-D69A92C06431","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"836deb1e22801a3288a892c11f8b1da9012168c0","datavalue":{"value":{"entity-type":"item","numeric-id":2860348,"id":"Q2860348"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3de4eab37a88a1a60068438450f135d3edbed8f6","datavalue":{"value":{"amount":"+0.921411395072937","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1714703$765EA48D-85C6-49DA-887F-3CE7608538D7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f04c052100573eca47cae8b63d23d9be5b8219c1","datavalue":{"value":{"entity-type":"item","numeric-id":5398989,"id":"Q5398989"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c1e1ccc1ac0931777edbf3da86dfe99d267021db","datavalue":{"value":{"amount":"+0.8899179697036743","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1714703$C4709483-E650-49C4-92E5-05210A52E1F6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"d16ed5f7f130683a919e1645dde18139477b9ed3","datavalue":{"value":{"entity-type":"item","numeric-id":3385049,"id":"Q3385049"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c311c83ccea3904cea29897c2a94ef1fc30c32cb","datavalue":{"value":{"amount":"+0.8861361145973206","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1714703$9D4CF5A7-260E-4E73-BDEE-49CE05D7B7F5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0d835e95fc6f0cc4aca3e3df249c9fa93e876252","datavalue":{"value":{"entity-type":"item","numeric-id":5143857,"id":"Q5143857"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8ab1a158f946c67e13765446b8760d50d2c79a24","datavalue":{"value":{"amount":"+0.883686900138855","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1714703$DA6E298D-924F-4E7E-9C1F-656F9223B2AD","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1714703$5DC15B7C-020E-4287-A5BE-3F4D0863905A","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:1714703","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:1714703"}}}}}