Asian option pricing with monotonous transaction costs under fractional Brownian motion
DOI10.1155/2013/352021zbMATH Open1397.91575DBLPjournals/jam/PanZZH13OpenAlexW1971038965WikidataQ59005508 ScholiaQ59005508MaRDI QIDQ1789869FDOQ1789869
Authors: 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
Recommendations
- Asian option pricing with transaction costs and dividends under the fractional Brownian motion model
- Pricing Asian options under time-changed mixed fractional Brownian motion with transactions costs
- A new method for Asian option pricing in fractional Brownian motion
- scientific article; zbMATH DE number 7296052
- Pricing and hedging of an Asian option whose price of underlying asset follows fractional Brown motion
- Asian option pricing with dividend under fractional Brownian motion model
- Pricing of European option with transaction costs in the fractional Brownian motion environment
- Pricing Asian option under mixed jump-fraction process
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
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 (13)
- Pricing option with stochastic interest rates and transaction costs in fractional Brownian markets
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
- Binary option pricing with transaction costs and dividends in a fractional Brownian motion environment
- Pricing geometric Asian rainbow options under fractional Brownian motion
- Title not available (Why is that?)
- Pricing of lookback options under a mixed fractional Brownian movement
- On an implementation of \(\alpha \)-subordinated Brownian motion and option pricing with and without transaction costs via CAS MATHEMATICA
- Pricing of European option with transaction costs in the fractional Brownian motion environment
- Asian option pricing with dividend under fractional Brownian motion model
- Pricing and hedging of an Asian option whose price of underlying asset follows fractional Brown motion
- A new method for Asian option pricing in fractional Brownian motion
- Pricing Asian options under time-changed mixed fractional Brownian motion with transactions costs
- Asian option pricing with transaction costs and dividends under the fractional Brownian motion model
This page was built for publication: Asian option pricing with monotonous transaction costs under fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1789869)
