Pricing geometric Asian rainbow options under fractional Brownian motion
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Publication:2150086
DOI10.1016/j.physa.2017.11.055zbMath1493.91129OpenAlexW2771318113MaRDI QIDQ2150086
Lin Yang, Feng Ma, Rong Zhang, Yang Su, Lu Wang
Publication date: 27 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.11.055
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (8)
Pricing geometric Asian power options in the sub-fractional Brownian motion environment ⋮ Pricing geometric Asian rainbow options under the mixed fractional Brownian motion ⋮ Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market) ⋮ Towards a better understanding of fractional Brownian motion and its application to finance ⋮ Option pricing under time interval driven model ⋮ Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion ⋮ Proactive hedging European call option pricing with linear position strategy ⋮ Asian rainbow option pricing formulas of uncertain stock model
Cites Work
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
- An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- PRICING OF RAINBOW OPTIONS: GAME THEORETIC APPROACH
- Arbitrage with Fractional Brownian Motion
- Perpetual American options with fractional Brownian motion
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