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

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  • Foad Shokrollahi

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.

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  • Foad Shokrollahi, 2017. "The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion," Papers 1712.05254, arXiv.org.
    • Handle: RePEc:arx:papers:1712.05254
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    References listed on IDEAS

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    6. Prakasa Rao, B.L.S., 2016. "Pricing geometric Asian power options under mixed fractional Brownian motion environment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 92-99.
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