Pricing geometric Asian power options in the sub-fractional Brownian motion environment

DOI10.1016/j.chaos.2021.110754zbMath1494.91164OpenAlexW3129602449MaRDI QIDQ2131688

Wei Wang, Guang-Hui Cai, Xiang Xing Tao

Publication date: 26 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.110754

zbMATH Keywords

option pricingMonte Carlo simulationssub-fractional Brownian motiongeometric Asian optionsgeometric Asian power options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model

Cites Work

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• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
• Some properties of the sub-fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

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