| Asian option pricing with transaction costs under CEV model by mixed fractional Brownian motion |
| کد مقاله : 1031-FEMATH7 |
| نویسندگان |
|
مریم رضایی * دانشگاه خوارزمی، دانشکده علوم مالی، گروه ریاضیات مالی |
| چکیده مقاله |
| One of the phenomena observed in the real market is long-range dependence. Mixed fractional Brownian motion with Hurst parameter can be a suitable tool to capture it. Also, stock price volatility is increasing when the stock price is decreasing in many markets. Hence, the main objective of this work is to obtain the pricing formula for geometric average Asian options base on the fractional Black-Scholes equation under the constant elasticity of variance (CEV) model and mixed fractional Brownian motion model with transaction costs and time-dependent parameters in a discrete-time setting when the dividend yeild is paid on assets during that period. |
| کلیدواژه ها |
| Mixed fractional Brownian motion; Asian option pricing; Transaction Costs. |
| وضعیت: پذیرفته شده برای ارائه شفاهی |