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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-08-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/QFE.2023020?viewType=HTML |