scientific article; zbMATH DE number 7448758

MaRDI QIDQ5017398zbMATH OpenFDO

Authors Wenming Yu, Aiyin Wang

Publication date 17 December 2021

zbMATH Keywords

Asian optionsCEV modelconvergencemixed fractional Brownian motionprogressive evolution method

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(1)

• An asymptotic expansion method for geometric Asian options pricing under the double Heston model

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