Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
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 experim...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/352021 |
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| _version_ | 1832564603433779200 |
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| author | Di Pan Shengwu Zhou Yan Zhang Miao Han |
| author_facet | Di Pan Shengwu Zhou Yan Zhang Miao Han |
| author_sort | Di Pan |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-4319cb89c8f048a389e886e7e929da0c |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-4319cb89c8f048a389e886e7e929da0c2025-02-03T01:10:32ZengWileyJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/352021352021Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian MotionDi Pan0Shengwu Zhou1Yan Zhang2Miao Han3College of Sciences, China University of Mining and Technology, Jiangsu, Xuzhou 221116, ChinaCollege of Sciences, China University of Mining and Technology, Jiangsu, Xuzhou 221116, ChinaCollege of Sciences, China University of Mining and Technology, Jiangsu, Xuzhou 221116, ChinaCollege of Sciences, China University of Mining and Technology, Jiangsu, Xuzhou 221116, ChinaGeometric-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.http://dx.doi.org/10.1155/2013/352021 |
| spellingShingle | Di Pan Shengwu Zhou Yan Zhang Miao Han Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion Journal of Applied Mathematics |
| title | Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion |
| title_full | Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion |
| title_fullStr | Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion |
| title_full_unstemmed | Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion |
| title_short | Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion |
| title_sort | asian option pricing with monotonous transaction costs under fractional brownian motion |
| url | http://dx.doi.org/10.1155/2013/352021 |
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