A new method for Asian option pricing in fractional Brownian motion

zbMATH Open1265.91065MaRDI QIDQ4902065FDOQ4902065

Authors: Yudong Sun, Yimin Shi, Wei Tan 

Publication date: 24 January 2013

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zbMATH Keywords

fractional Brownian motionAsian optionreliability mathematics

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

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