2012Journal of Henan University of Science & TechnologyRequires access

Asian Option Pricing with Dividend Under Fractional Brownian Motion Model

Wu Wen

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Abstract

Assumed that the financial asset was stock with dividend payment,the geometric average asian option pricing was changed into the question of solving partial differential equation by fractional I to formula.The pricing formula and call-put parity of the geometric average asian option with dividend payment were obtained by solving the partial differential equation.

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Assumed that the financial asset was stock with dividend payment,the geometric average asian option pricing was changed into the question of solving partial differential equation by fractional I to formula.The pricing formula and call-put parity of the geometric average asian option with dividend payment were obtained by solving the partial differential equation.

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Available abstract

Assumed that the financial asset was stock with dividend payment,the geometric average asian option pricing was changed into the question of solving partial differential equation by fractional I to formula.The pricing formula and call-put parity of the geometric average asian option with dividend payment were obtained by solving the partial differential equation.

Key concepts: Geometric Brownian motion, Asian option, Dividend, Partial differential equation, Payment, Mathematics, Econometrics, Economics

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