Pricing geometric asian power options in the sub-fractional brownian motion environment

Wei Wang, Guanghui Cai and Xiangxing Tao

Chaos, Solitons & Fractals, 2021, vol. 145, issue C

Abstract: This paper aims of obtaining the closed form expressions for the prices of the geometric Asian options and power options when the payoff function is a power function. After discussing the option pricing in the sub-fractional Brownian motion environment, by the fractional Ito^ formula which is based on the theory of stochastic differential equation, the sub-fractional Ito^ formula is derived. Furthermore, the solution of the stochastic differential equation satisfied by stock prices is obtained. The stock price process is modeled well with the driving force as the sub-fractional Brownian motion. The empirical results show that the fitting effect is better than the Brownian motion.

Keywords: Sub-fractional Brownian motion; Option pricing; Geometric Asian options; Geometric Asian power options; Monte Carlo simulations (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0960077921001077
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:145:y:2021:i:c:s0960077921001077

DOI: 10.1016/j.chaos.2021.110754

Access Statistics for this article

Chaos, Solitons & Fractals is currently edited by Stefano Boccaletti and Stelios Bekiros

More articles in Chaos, Solitons & Fractals from Elsevier
Bibliographic data for series maintained by Thayer, Thomas R. ().