Asian Option Pricing with Dividend Under Fractional Brownian Motion Model
Wu Wen
Abstract
Wu Wen
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.
A significance statement is not available in the OpenAlex record.
A contribution statement is not available in the OpenAlex record.
Method details are not available in the OpenAlex metadata.
Findings are not separately available in the OpenAlex metadata.
Limitations are not available in the OpenAlex metadata.
Application details are not available in the OpenAlex metadata.
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