Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
Pricing of Securities
2021-05-18 v1 Probability
Abstract
The mixed fractional Brownian motion () has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certain values of the Hurst parameter, arbitrage-free. In the present paper, we propose approximate closed-form solutions for pricing arithmetic Asian options on an underlying described by the . Specifically, we consider both arithmetic Asian options and arithmetic Asian power options, and we obtain analytical formulas for pricing them based on a convenient approximation of the strike price. Both the standard and the with Poisson log-normally distributed jumps are taken into account.
Keywords
Cite
@article{arxiv.2105.06999,
title = {Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps},
author = {Foad Shokrollahi and Davood Ahmadian and Luca Vincenzo Ballestra},
journal= {arXiv preprint arXiv:2105.06999},
year = {2021}
}