Asian option pricing with dividend under fractional Brownian motion model

zbMATH Open1289.91180MaRDI QIDQ2860348FDOQ2860348

Authors: Wenna Wu, Sheng-Wu Zhou, Wei Li 

Publication date: 19 November 2013

Published in: Journal of Henan University of Science and Technology. Natural Science (Search for Journal in Brave)

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zbMATH Keywords

option pricingfractional Brownian motiondividendgeometric average Asian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65)

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• Pricing formulas for geometric average Asian options under the fractional Vasicek rate model
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• Title not available (Why is that?)
• Asian option pricing with monotonous transaction costs under fractional Brownian motion
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