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

DOI10.1016/J.CAM.2018.05.042zbMATH Open1395.91467arXiv1712.05254OpenAlexW2962997245WikidataQ129735955 ScholiaQ129735955MaRDI QIDQ724563FDOQ724563

Authors: Foad Shokrollahi 

Publication date: 26 July 2018

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

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.

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

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zbMATH Keywords

power optionmixed fractional Brownian motiongeometric Asian optiontime changed process

Mathematics Subject Classification ID

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

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Cited In (14)

• Proactive hedging European call option pricing with linear position strategy
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
• The pricing and numerical analysis of lookback options for mixed fractional Brownian motion
• Pricing Asian option under mixed jump-fraction process
• Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
• 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
• Pricing Asian options under time-changed mixed fractional Brownian motion with transactions costs
• Option pricing of geometric Asian options in a subdiffusive Brownian motion regime

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