Asian option pricing with monotonous transaction costs under fractional Brownian motion
type: Item
instance of: scholarly article
title: Asian option pricing with monotonous transaction costs under fractional Brownian motion
zbMATH Open document ID: 1397.91575
DOI: 10.1155/2013/352021
author: Di Pan
author: Yan Zhang
author: Miao Han
author: Sheng-Wu Zhou
published in: Journal of Applied Mathematics
publication date: 2018-10-10T00:00:00Z
review text: Summary: Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian option value were obtained. The numerical experiments show that Hurst exponent of the fractional Brownian motion and transaction cost rate have a significant impact on the option value.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 6950629
Wikidata QID: Q59005508
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2013/352021
OpenAlex ID: W1971038965
DBLP publication ID: journals/jam/PanZZH13
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description: scientific article; zbMATH DE number 6950629