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

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页码：656 / 659

页数：4

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