scientific article; zbMATH DE number 7296052

zbMATH Open1463.91176MaRDI QIDQ5143857

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Publication date: 14 January 2021

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zbMATH Keywords

Black-Scholes partial differential equationgeometric average Asian optionsub-fractional jump-diffusion process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20)

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Pricing geometric Asian power options in the sub-fractional Brownian motion environment ⋮ Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL ⋮ Asian option pricing with monotonous transaction costs under fractional Brownian motion ⋮ Asian option pricing with dividend under fractional Brownian motion model

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