Asian option pricing under sub-fractional vasicek model

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
Main Authors: Lichao Tao, Yuefu Lai, Yanting Ji, Xiangxing Tao
Format: Article
Language:English
Published: AIMS Press 2023-08-01
Series:Quantitative Finance and Economics
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

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https://www.aimspress.com/article/doi/10.3934/QFE.2023020?viewType=HTML

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