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2014 Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model
Yan Zhang, Di Pan, Sheng-Wu Zhou, Miao Han
J. Appl. Math. 2014: 1-8 (2014). DOI: 10.1155/2014/652954

Abstract

The pricing problem of geometric average Asian option under fractional Brownian motion is studied in this paper. The partial differential equation satisfied by the option’s value is presented on the basis of no-arbitrage principle and fractional formula. Then by solving the partial differential equation, the pricing formula and call-put parity of the geometric average Asian option with dividend payment and transaction costs are obtained. At last, the influences of Hurst index and maturity on option value are discussed by numerical examples.

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Yan Zhang. Di Pan. Sheng-Wu Zhou. Miao Han. "Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model." J. Appl. Math. 2014 1 - 8, 2014. https://doi.org/10.1155/2014/652954

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07010709
MathSciNet: MR3191133
Digital Object Identifier: 10.1155/2014/652954

Rights: Copyright © 2014 Hindawi

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