Asian option pricing with transaction costs and dividends under the fractional Brownian motion model
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Publication:1714703
DOI10.1155/2014/652954zbMath1406.91460DBLPjournals/jam/ZhangPZH14OpenAlexW1993347474WikidataQ59053947 ScholiaQ59053947MaRDI QIDQ1714703
Di Pan, Miao Han, Yan Zhang, Sheng-Wu Zhou
Publication date: 1 February 2019
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2014/652954
Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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