The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion

DOI10.1016/j.cam.2018.05.042zbMath1395.91467arXiv1712.05254OpenAlexW2962997245WikidataQ129735955 ScholiaQ129735955MaRDI QIDQ724563

Foad Shokrollahi

Publication date: 26 July 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.05254

zbMATH Keywords

power optionmixed fractional Brownian motiongeometric Asian optiontime changed process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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