2015•Journal of Northeast Normal UniversityRequires access
Power asian option pricing in mixed fractional brownian motion environment
Shen Ming-xua
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Abstract
The problem of pricing geometric average Asian option in mixed fractional Brownian motion environment is considered.Under the assumption that the stock pricing processes obeys the stochastic differential equation driven by mixed fractional Brownian motion,we obtain the pricing formula of power geometric average Asian option by quasi-conditional expectation.We also extend the pricing of geometric average Asian option with dividend.