Pricing geometric Asian power options under mixed fractional Brownian motion environment

DOI10.1016/J.PHYSA.2015.11.013zbMath1400.91607OpenAlexW2179633876MaRDI QIDQ1619132

B. L. S. Prakasa Rao

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.11.013

zbMATH Keywords

Asian optionoption pricemixed fractional Brownian motionAsian power option

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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