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

2017/12/14 by Foad Shokrollahi, Shokrollahi, Foad
Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1712.05254

openalex publication_date 2017/12/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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

Related

• Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
• Asian option as a fixed-point
• The derivatives of Asian call option prices
• An exact and explicit formula for pricing Asian options with regime switching
• Pricing of the Geometric Asian Options Under a Multifactor Stochastic Volatility Model