Pricing geometric average Asian options in the mixed sub-fractional Brownian motion environment with Vasicek interest rate model

Considering the characteristics of long-range correlations in financial markets, the issue of valuing geometric average Asian options is examined, assuming that the variations of the underlying asset follow the mixed sub-fractional Brownian motion, and the dynamics of short-term interest rate satisf...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:AIMS Mathematics
المؤلفون الرئيسيون: Xinyi Wang, Chunyu Wang
التنسيق: مقال
اللغة:الإنجليزية
منشور في: AIMS Press 2024-09-01
الموضوعات:
option pricing
mixed sub-fractional brownian motion
geometric average asian options
vasicek short rate model
الوصول للمادة أونلاين:https://aimspress.com/article/doi/10.3934/math.20241293?viewType=HTML

الانترنت

https://aimspress.com/article/doi/10.3934/math.20241293?viewType=HTML

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