Journal
ACTA MATHEMATICA VIETNAMICA
Volume 40, Issue 4, Pages 689-703Publisher
SPRINGER SINGAPORE PTE LTD
DOI: 10.1007/s40306-014-0079-7
Keywords
Fractional action-like variational approach; Functional with two occurrences of fractional action integrals; Geometric average Asian call option; Optimal change
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The fractional action-like variational approach for the case of functional with two occurrences of fractional action integrals is constructed. Our motivation is based on the fact that a functional with two occurrences of integrals has many advantages in optimization problems and financial engineering issues. After deriving the corresponding fractional Euler-Lagrange equation and discussing some examples, we addressed the problem of Asian call option. We derived the asymptotically optimal change of fractional drift for the geometric average Asian call option and gave some new consequences.
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