Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
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Publication:2150007
DOI10.1016/j.physa.2017.08.070zbMath1493.91130OpenAlexW2751662207MaRDI QIDQ2150007
Yong-Jun Liu, Wei-Guo Zhang, Zhe Li
Publication date: 27 June 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2017.08.070
option pricingpartial differential equationmixed fractional Brownian motioninterval numbersAsian power option
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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