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Asian option pricing with monotonous transaction costs under fractional Brownian motion
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نویسنده
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pan d. ,zhou s. ,zhang y. ,han m.
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منبع
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journal of applied mathematics - 2013 - دوره : 2013 - شماره : 0
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چکیده
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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. © 2013 di pan et al.
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آدرس
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college of sciences,china university of mining and technology,jiangsu, China, college of sciences,china university of mining and technology,jiangsu, China, college of sciences,china university of mining and technology,jiangsu, China, college of sciences,china university of mining and technology,jiangsu, China
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Authors
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