Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model
Joint Authors
Zhou, Sheng-Wu
Han, Miao
Zhang, Yan
Pan, Di
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-26
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Zhang, Yan& Pan, Di& Zhou, Sheng-Wu& Han, Miao. 2014. Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-488492
Modern Language Association (MLA)
Zhang, Yan…[et al.]. Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model. Journal of Applied Mathematics No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-488492
American Medical Association (AMA)
Zhang, Yan& Pan, Di& Zhou, Sheng-Wu& Han, Miao. Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-488492
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-488492