Asian Option Pricing on Dividend-Paying and Placing Stocks under Sub-Fractional Brownian Motion
In order to solve the pricing problem of geometric average Asian options with continuous dividends and random allocation and delivery times under sub-fractional environment,the pricing formulas of geometric average Asian call and put op-tions and their parity relations are obtained by using stochastic analysis method.The numerical simulation results show that the price of the geometric average Asian call and put options have different trends with the proportion of the allocation,the price of the allocation and the stock price before the right and ex-dividend,but all of them are inversely proportional to the Hurst in-dex.This study has important theoretical significance for enriching the option pricing model,and provides an important theoreti-cal reference for the option investors in China's financial market.
sub-fractional Brownian motioncontinuous dividendsrights issuegeometric average Asian optionnumerical simulation
万方数据
维普
