Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model
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 equa...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/652954 |
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| _version_ | 1832564326589792256 |
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| author | Yan Zhang Di Pan Sheng-Wu Zhou Miao Han |
| author_facet | Yan Zhang Di Pan Sheng-Wu Zhou Miao Han |
| author_sort | Yan Zhang |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-592681ef69bd44d49f385052e274a11a |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-592681ef69bd44d49f385052e274a11a2025-02-03T01:11:12ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/652954652954Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion ModelYan Zhang0Di Pan1Sheng-Wu Zhou2Miao 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, ChinaThe 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.http://dx.doi.org/10.1155/2014/652954 |
| spellingShingle | Yan Zhang Di Pan Sheng-Wu Zhou Miao Han Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model Journal of Applied Mathematics |
| title | Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model |
| title_full | Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model |
| title_fullStr | Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model |
| title_full_unstemmed | Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model |
| title_short | Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model |
| title_sort | asian option pricing with transaction costs and dividends under the fractional brownian motion model |
| url | http://dx.doi.org/10.1155/2014/652954 |
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