Pricing Formulae of Asian Options under the Fractional Brownian Motion

被引：0
|
作者：
张超 [1 ]
张寄洲 [1 ]
机构：
[1] Mathematics & Science College,Shanghai Normal University
来源：
Journal of Donghua University(English Edition) | 2010年 / 27卷 / 05期
关键词：
fractional Brownian motion; Asian option; Black-Scholes formula;
D O I：
10.19884/j.1672-5220.2010.05.013
中图分类号：
O211.6 [随机过程];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper,the pricing formulae of the geometric average Asian call option with the fixed and floating strike price under the fractional Brownian motion(FBM)are given out by the method of partial differential equation(PDE).The call-put parity for the geometric average Asian options is given.The results are generalization of option pricing under standard Brownian motion.
引用
下载
收藏
页码：656 / 659
页数：4
相关论文
共 50 条
  • [1] Pricing formulae of asian options under the fractional Brownian motion
    Zhang, Chao
    Zhang, Ji-Zhou
    Journal of Donghua University (English Edition), 2010, 27 (05) : 656 - 659
  • [2] Pricing geometric Asian rainbow options under fractional Brownian motion
    Wang, Lu
    Zhang, Rong
    Yang, Lin
    Su, Yang
    Ma, Feng
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 494 : 8 - 16
  • [3] Pricing Asian options under the mixed fractional Brownian motion with jumps
    Shokrollahi, F.
    Ahmadian, D.
    Ballestra, L. V.
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2024, 226 : 172 - 183
  • [4] Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
    Ahmadian, D.
    Ballestra, L., V
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 555
  • [5] Pricing geometric Asian power options under mixed fractional Brownian motion environment
    Rao, B. L. S. Prakasa
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2016, 446 : 92 - 99
  • [6] Pricing Formulas of Compound Options under the Fractional Brownian Motion
    Zhang, Chao
    Zhang, Jizhou
    Tao, Dongya
    NONLINEAR MATHEMATICS FOR UNCERTAINTY AND ITS APPLICATIONS, 2011, 100 : 247 - +
  • [7] Pricing geometric asian power options in the sub-fractional brownian motion environment
    WANG, W.E.I.
    CAI, GUANGHUI
    TAO, XIANGXING
    Chaos, Solitons and Fractals, 2021, 145
  • [8] Pricing geometric asian power options in the sub-fractional brownian motion environment *
    Wang, Wei
    Cai, Guanghui
    Tao, Xiangxing
    CHAOS SOLITONS & FRACTALS, 2021, 145
  • [9] A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion
    Ahmadian, D.
    Ballestra, L., V
    Shokrollahi, F.
    CHAOS SOLITONS & FRACTALS, 2022, 158
  • [10] Pricing currency options in the mixed fractional Brownian motion
    Sun, Lin
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2013, 392 (16) : 3441 - 3458
12345