时变混合分数布朗运动下带交易费用的亚式期权定价

Acta mathematica scientia,Series A ›› 2021, Vol. 41 ›› Issue (4): 1135-1146.

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Pricing Asian Options Under Time-Changed Mixed Fractional Brownian Motion with Transactions Costs

Yi Ding(),Jingjun Guo*()

^{School of Statistics, Lanzhou University of Finance and Economics, Lanzhou 730020}

Received:2020-10-06 Online:2021-08-26 Published:2021-08-09
Contact: Jingjun Guo E-mail:2014295797@qq.com;guojj@lzufe.edu.cn
Supported by:
the NSFC(71961013);the NSFC(72061020);the Feitian Scholars Project in Gansu Province and the Research Innovation Team Support Plan of Lanzhou University of Finance and Economics

Abstract

Abstract:

Considering that the classical Black-Scholes(B-S) option pricing model can not describe the characteristics of constant value periodicity and long-term dependence of financial asset prices, the time-changed mixed fractional Brownian motion is used to describe the changes of financial asset prices. By using self-financing delta hedging strategy, the partial differential equation of geometric average Asian call option price in discrete case and the pricing formula of geometric average Asian call and put option are obtained, and the influence of parameters in pricing model on option price is analyzed. Based on the daily closing price of Vanke stock, this article makes an empirical analysis on the established pricing model, and verifies the effectiveness of the pricing model.

Key words: Asian option, Time-changed process, Mixed fractional Brownian motion, Transaction cost

CLC Number:

O211.6

Yi Ding,Jingjun Guo. Pricing Asian Options Under Time-Changed Mixed Fractional Brownian Motion with Transactions Costs[J].Acta mathematica scientia,Series A, 2021, 41(4): 1135-1146.

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Pricing Asian Options Under Time-Changed Mixed Fractional Brownian Motion with Transactions Costs

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