Asian Option Pricing with Transaction Costs Under the Vasicek Stochastic Interest Rate Model with Sub-Fractional Jumps
This paper studies the Asian option pricing problem in which the price of the underlying asset is subject to the sub-fractional jump diffusion process.Taking into account the changes in interest rates and the transaction costs existing in the market,the sub-fraction Vasicek random interest rate and the transaction costs are introduced,and the principle of no arbitrage is used to establish the pricing model is transformed into a Cauchy problem using variable substitution to obtain analytical solutions for the value of Asian call options and Asian put options.
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