Asian option pricing with monotonous transaction costs under fractional Brownian motion

DOI10.1155/2013/352021zbMath1397.91575WikidataQ59005508 ScholiaQ59005508MaRDI QIDQ1789869

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

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

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

91G20: Derivative securities (option pricing, hedging, etc.)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)