The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion

Foad Shokrollahi

Papers from arXiv.org

Abstract: The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the underlying stock follows a time changed mixed fractional Brownian motion. We then apply the results to price Asian power options on the stocks that pay constant dividends when the payoff is a power function. Finally, lower bound of Asian options and some special cases are provided.

Date: 2017-12
New Economics Papers: this item is included in nep-sea
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1712.05254

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