| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 8901795 | Journal of Computational and Applied Mathematics | 2018 | 9 Pages |
Abstract
In this paper, the geometric Asian option pricing problem is investigated under the assumption that the underlying stock price is assumed following a mixed fractional subdiffusive Black-Scholes model, and the geometric average Asian option pricing formula is derived under this assumption. We then apply the results to value 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Foad Shokrollahi,