Asian option pricing with transaction costs and dividends under the fractional Brownian motion model (Q1714703): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Created claim: Wikidata QID (P12): Q59053947, #quickstatements; #temporary_batch_1711196317277 |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1155/2014/652954 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1993347474 / rank | |||
Normal rank | |||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q59053947 / rank | |||
Normal rank | |||
Latest revision as of 14:41, 23 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asian option pricing with transaction costs and dividends under the fractional Brownian motion model |
scientific article |
Statements
Asian option pricing with transaction costs and dividends under the fractional Brownian motion model (English)
0 references
1 February 2019
0 references
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.
0 references
