2014•Acta Mathematicae Applicatae Sinica English SeriesRequires access

Pricing Formulas for Geometric Average Asian Options under the Fractional Vasicek Rate Model

Qing Zhou

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Key concepts: Vasicek model, Geometric Brownian motion, Mathematics, Asian option, Stochastic differential equation, Valuation of options, Fractional Brownian motion, Black–Scholes model

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Pricing Formulas for Geometric Average Asian Options under the Fractional Vasicek Rate Model — Research Paper | ScholarLens