期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 490, 期 -, 页码 402-418出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2017.08.070
关键词
Asian power option; Mixed fractional Brownian motion; Partial differential equation; Option pricing; Interval numbers
资金
- National Natural Science Foundation of China [71720107002, 71501076, 71671068]
- Natural Science Foundation of Guangdong Province [2017A030312001, 2014A030310454]
- Fundamental Research Funds for the Central Universities [2017ZD102]
- Financial Service Innovation and Risk Management Research Base of Guangzhou of China
In this paper, we study the pricing problem of the continuously monitored fixed and floating strike geometric Asian power options in a mixed fractional Brownian motion environment. First, we derive both closed-form solutions and mixed fractional partial differential equations for fixed and floating strike geometric Asian power options based on delta-hedging strategy and partial differential equation method. Second, we present the lower and upper bounds of the prices of fixed and floating strike geometric Asian power options under the assumption that both risk-free interest rate and volatility are interval numbers. Finally, numerical studies are performed to illustrate the performance of our proposed pricing model. (C) 2017 Elsevier B.V. All rights reserved.
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