Asian option pricing under sub-fractional vasicek model

This paper investigates the pricing formula for geometric Asian options where the underlying asset is driven by the sub-fractional Brownian motion with interest rate satisfying the sub-fractional Vasicek model. By applying the sub-fractional $ {\rm{It\hat o}} $ formula, the Black-Scholes (B-S) type...

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Bibliographic Details

Published in:	Quantitative Finance and Economics
Main Authors:	Lichao Tao, Yuefu Lai, Yanting Ji, Xiangxing Tao
Format:	Article
Language:	English
Published:	AIMS Press 2023-08-01
Subjects:	sub-fractional brownian motion vasicek model zero-coupon bond asian option pricing
Online Access:	https://www.aimspress.com/article/doi/10.3934/QFE.2023020?viewType=HTML