Asian option pricing with transaction costs and dividends under the fractional Brownian motion model
type: Item
instance of: scholarly article
title: Asian option pricing with transaction costs and dividends under the fractional Brownian motion model
zbMATH Open document ID: 1406.91460
DOI: 10.1155/2014/652954
author: Yan Zhang
author: Di Pan
author: Sheng-Wu Zhou
author: Miao Han
published in: Journal of Applied Mathematics
publication date: 2019-02-01T00:00:00Z
review text: Summary: The pricing problem of geometric average Asian option under fractional Brownian motion is studied in this paper. The partial differential equation satisfied by the option's value is presented on the basis of no-arbitrage principle and fractional formula. Then by solving the partial differential equation, the pricing formula and call-put parity of the geometric average Asian option with dividend payment and transaction costs are obtained. At last, the influences of Hurst index and maturity on option value are discussed by numerical examples.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 7010709
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/652954
OpenAlex ID: W1993347474
Wikidata QID: Q59053947
DBLP publication ID: journals/jam/ZhangPZH14
description: scientific article; zbMATH DE number 7010709