Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion | Zendy

Di Pan | Zendy; Zhou Sheng-wu | Zendy; Yan Zhang | Zendy; Miao Han | Zendy

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Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

Author(s) -

Di Pan,

Zhou Sheng-wu,

Yan Zhang,

Miao Han

Publication year - 2013

Publication title -

journal of applied mathematics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.307

H-Index - 43

eISSN - 1687-0042

pISSN - 1110-757X

DOI - 10.1155/2013/352021

Subject(s) - fractional brownian motion , hurst exponent , transaction cost , geometric brownian motion , mathematics , asian option , brownian motion , exponent , valuation of options , econometrics , mathematical optimization , economics , diffusion process , statistics , microeconomics , linguistics , philosophy , economy , service (business)

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

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