Asian option pricing with monotonous transaction costs under fractional Brownian motion

DOI10.1155/2013/352021zbMATH Open1397.91575DBLPjournals/jam/PanZZH13OpenAlexW1971038965WikidataQ59005508 ScholiaQ59005508MaRDI QIDQ1789869FDOQ1789869

Sheng-Wu Zhou, Di Pan, Yan Zhang, Miao Han

Publication date: 10 October 2018

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/352021

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fractional processes, including fractional Brownian motion (60G22)

Cited In (2)

• Title not available (Why is that?)
• Asian option pricing with dividend under fractional Brownian motion model

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