Pricing geometric asian power options in the sub-fractional brownian motion environment
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DOI: 10.1016/j.chaos.2021.110754
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- Guo, Jingjun & Kang, Weiyi & Wang, Yubing, 2024. "Multi-perspective option price forecasting combining parametric and non-parametric pricing models with a new dynamic ensemble framework," Technological Forecasting and Social Change, Elsevier, vol. 204(C).
- Ma, Pengcheng & Najafi, Alireza & Gomez-Aguilar, J.F., 2024. "Sub mixed fractional Brownian motion and its application to finance," Chaos, Solitons & Fractals, Elsevier, vol. 184(C).
- Axel A. Araneda, 2021. "Price modelling under generalized fractional Brownian motion," Papers 2108.12042, arXiv.org, revised Nov 2023.
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Keywords
Sub-fractional Brownian motion; Option pricing; Geometric Asian options; Geometric Asian power options; Monte Carlo simulations;All these keywords.
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