英文标题：
《The evaluation of geometric Asian power options under time changed mixed
fractional Brownian motion》
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作者：
Foad Shokrollahi
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最新提交年份：
2017
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英文摘要：
The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the underlying stock follows a time changed mixed fractional Brownian motion. We then apply the results to price Asian power options on the stocks that pay constant dividends when the payoff is a power function. Finally, lower bound of Asian options and some special cases are provided.
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中文摘要：
本文的目的是利用混合分数次扩散Black-Scholes模型来评估几何亚式期权。当标的股票服从时变混合分数布朗运动时，我们推导了几何亚式期权的定价公式。然后，当收益为幂函数时，我们将结果应用于支付恒定股息的股票的亚幂期权定价。最后给出了亚式期权的下界和一些特例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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