The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
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Abstract: The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the underlying stock follows a time changed mixed fractional Brownian motion. We then apply the results to price Asian power options on the stocks that pay constant dividends when the payoff is a power function. Finally, lower bound of Asian options and some special cases are provided.
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Cites work
- scientific article; zbMATH DE number 724260 (Why is no real title available?)
- scientific article; zbMATH DE number 1897419 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Black-Scholes formula in subdiffusive regime
- Mixed fractional Brownian motion
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Spatial gliding, temporal trapping, and anomalous transport
- Stochastic calculus for fractional Brownian motion and related processes.
- The fractional mixed fractional Brownian motion.
- The pricing of options and corporate liabilities
- The random walk's guide to anomalous diffusion: A fractional dynamics approach
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- 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
- The valuation of European option under subdiffusive fractional Brownian motion of the short rate
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model
- Towards a better understanding of fractional Brownian motion and its application to finance
- A survey of mean-square destabilization of multidimensional linear stochastic differential systems with non-normal drift
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