Pricing geometric Asian rainbow options under the mixed fractional Brownian motion

DOI10.1016/J.PHYSA.2020.124458MaRDI QIDQ2139665zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Asian optionmixed fractional Brownian motionmulti-asset optionnon-Markov processrainbow options

Mathematics Subject Classification ID

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

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Cites work

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• Pricing european option under the time-changed mixed Brownian-fractional Brownian model
• Pricing geometric Asian power options under mixed fractional Brownian motion environment
• Pricing geometric Asian rainbow options under fractional Brownian motion
• Repeated spatial extrapolation: an extraordinarily efficient approach for option pricing
• Stochastic calculus for fractional Brownian motion and related processes.
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion

Cited in

(18)

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

Describes a project that uses

Uses Software

• SimEstFBM

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