Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion

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

zbMATH Keywords

option pricingpartial differential equationmixed fractional Brownian motioninterval numbersAsian power option

Mathematics Subject Classification ID

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)

Related Items (12)

Optimal importance sampling for continuous Gaussian fields ⋮ Option pricing of geometric Asian options in a subdiffusive Brownian motion regime ⋮ Valuation of bid and ask prices for European options under mixed fractional Brownian motion ⋮ Pricing geometric Asian rainbow options under the mixed fractional Brownian motion ⋮ Pricing equity warrants in Merton jump-diffusion model with credit risk ⋮ Analytical valuation for geometric Asian options in illiquid markets ⋮ Critical value-based Asian option pricing model for uncertain financial markets ⋮ An interest-rate model with jumps for uncertain financial markets ⋮ Parameter identification for mixed fractional Brownian motions with the drift parameter ⋮ Power option pricing under the unstable conditions (evidence of power option pricing under fractional Heston model in the Iran gold market) ⋮ Valuation of vulnerable options with stochastic corporate liabilities in a mixed fractional Brownian motion environment ⋮ Pricing vulnerable options in a mixed fractional Brownian motion with jumps

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