Pricing geometric Asian rainbow options under the mixed fractional Brownian motion

DOI10.1016/j.physa.2020.124458zbMath1498.91490OpenAlexW3012351558MaRDI QIDQ2139665

Davood Ahmadian, Luca Vincenzo Ballestra

Publication date: 19 May 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2020.124458

zbMATH Keywords

Asian optionmulti-asset optionmixed fractional Brownian motionrainbow optionsnon-Markov process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (7)

Path-dependent game options with Asian features ⋮ American rainbow option pricing formulae in uncertain environment ⋮ Lattice-based model for pricing contingent claims under mixed fractional Brownian motion ⋮ Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ Option pricing under time interval driven model ⋮ Asian rainbow option pricing formulas of uncertain stock model

Uses Software

• SimEstFBM

Cites Work

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