Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
Joint Authors
Zhou, Sheng-Wu
Han, Miao
Zhang, Yan
Pan, Di
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-12-09
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Pan, Di& Zhou, Sheng-Wu& Zhang, Yan& Han, Miao. 2013. Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-465088
Modern Language Association (MLA)
Pan, Di…[et al.]. Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion. Journal of Applied Mathematics No. 2013 (2013), pp.1-6.
https://search.emarefa.net/detail/BIM-465088
American Medical Association (AMA)
Pan, Di& Zhou, Sheng-Wu& Zhang, Yan& Han, Miao. Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-6.
https://search.emarefa.net/detail/BIM-465088
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-465088