Pricing geometric Asian rainbow options under the mixed fractional Brownian motion

DOI10.1016/J.PHYSA.2020.124458zbMATH Open1498.91490OpenAlexW3012351558MaRDI QIDQ2139665FDOQ2139665

Authors: D. Ahmadian, Luca Vincenzo Ballestra 

Publication date: 19 May 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.124458

Recommendations

• Pricing geometric Asian rainbow options under fractional Brownian motion
• Geometric average Asian option pricing in fractional Brownian environment
• Option pricing of geometric Asian options in a subdiffusive Brownian motion regime
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Pricing Asian options under time-changed mixed fractional Brownian motion with transactions costs
• A new method for Asian option pricing in fractional Brownian motion
• Pricing and hedging of an Asian option whose price of underlying asset follows fractional Brown motion
• Pricing geometric Asian power options in the sub-fractional Brownian motion environment

zbMATH Keywords

multi-asset optionAsian optionmixed fractional Brownian motionrainbow optionsnon-Markov process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Arbitrage in fractional Brownian motion models
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Arbitrage with Fractional Brownian Motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Pricing by hedging and no-arbitrage beyond semimartingales
• Pricing european option under the time-changed mixed Brownian-fractional Brownian model
• Title not available (Why is that?)
• Mixed fractional Brownian motion
• On the mixed fractional Brownian motion
• Options on the minimum or the maximum of two average prices
• Pricing currency options in the mixed fractional Brownian motion
• Option pricing of a mixed fractional-fractional version of the Black-Scholes model
• Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• Title not available (Why is that?)
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
• Pricing geometric Asian rainbow options under fractional Brownian motion
• Title not available (Why is that?)

Cited In (14)

• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
• Pricing Asian option under mixed jump-fraction process
• Path-dependent game options with Asian features
• The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
• Pricing geometric Asian power options in the sub-fractional Brownian motion environment
• Pricing geometric Asian rainbow options under fractional Brownian motion
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• American rainbow option pricing formulae in uncertain environment
• Option pricing under time interval driven model
• Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
• Asian rainbow option pricing formulas of uncertain stock model
• A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment

Uses Software

• SimEstFBM

This page was built for publication: Pricing geometric Asian rainbow options under the mixed fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2139665)