Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 446, Issue -, Pages 92-99Publisher
ELSEVIER
DOI: 10.1016/j.physa.2015.11.013
Keywords
Mixed fractional Brownian motion; Option price; Asian option; Asian power option
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Funding
- Ministry of Statistics and Programme Implementation, Government of India [M 12012/15(170)/2008-SSD]
- Government of Andhra Pradesh, India [6292/Plg.XVIII]
- Department of Science and Technology, Government of India at the CR Rao Advanced Institute of Mathematics, Statistics and Computer Science, Hyderabad, India [SR/S4/MS:516/07]
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It has been observed that the stock price process can be modeled with driving force as a mixed fractional Brownian motion with Hurst index H > 3/4 whenever long-range dependence is possibly present. We obtain a closed form expression for the price of a geometric Asian option under the mixed fractional Brownian motion environment. We consider also Asian power options when the payoff function is a power function. (C) 2015 Elsevier B.V. All rights reserved.
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