Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
The mixed fractional Brownian motion ($mfBm$) 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...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext bestellen |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | |
| container_start_page | |
| container_title | |
| container_volume | |
| creator | Shokrollahi, Foad Ahmadian, Davood Ballestra, Luca Vincenzo |
| description | The mixed fractional Brownian motion ($mfBm$) 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 $mfBm$.
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 $mfBm$ and the
$mfBm$ with Poisson log-normally distributed jumps are taken into account. |
| doi_str_mv | 10.48550/arxiv.2105.06999 |
| format | Article |
| fullrecord | <record><control><sourceid>arxiv_GOX</sourceid><recordid>TN_cdi_arxiv_primary_2105_06999</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2105_06999</sourcerecordid><originalsourceid>FETCH-LOGICAL-a679-95a87c6a8b320cfefa239fb99983305dd71a5fa3141d2aa8079fd5b864f2233</originalsourceid><addsrcrecordid>eNotj01ugzAUhL3pokp7gK76LgA1NgZ7SaP-SZEiVd3Th40TR8EgG5rk9oW0q5FGM6P5CHnIaJpLIegThrP7SVlGRUoLpdQt-a70OGFweIQ4Bhzb3QVsH2AITju_gyo69NAPo-t9hMmbNgBC586tARtQL_7cfQ79yS_Jrl8cOLlxD4epG-IdubF4jO39v67I5-vL1_o92WzfPtbVJsGiVIkSKEtdoGw4o9q2FhlXtpkvSs6pMKbMUFjkWZ4ZhihpqawRjSxyyxjnK_L4N3oFrOfzHYZLvYDWV1D-C-GVT74</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype></control><display><type>article</type><title>Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps</title><source>arXiv.org</source><creator>Shokrollahi, Foad ; Ahmadian, Davood ; Ballestra, Luca Vincenzo</creator><creatorcontrib>Shokrollahi, Foad ; Ahmadian, Davood ; Ballestra, Luca Vincenzo</creatorcontrib><description>The mixed fractional Brownian motion ($mfBm$) 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 $mfBm$.
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 $mfBm$ and the
$mfBm$ with Poisson log-normally distributed jumps are taken into account.</description><identifier>DOI: 10.48550/arxiv.2105.06999</identifier><language>eng</language><subject>Mathematics - Probability ; Quantitative Finance - Pricing of Securities</subject><creationdate>2021-05</creationdate><rights>http://creativecommons.org/licenses/by-sa/4.0</rights><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>228,230,780,885</link.rule.ids><linktorsrc>$$Uhttps://arxiv.org/abs/2105.06999$$EView_record_in_Cornell_University$$FView_record_in_$$GCornell_University$$Hfree_for_read</linktorsrc><backlink>$$Uhttps://doi.org/10.48550/arXiv.2105.06999$$DView paper in arXiv$$Hfree_for_read</backlink></links><search><creatorcontrib>Shokrollahi, Foad</creatorcontrib><creatorcontrib>Ahmadian, Davood</creatorcontrib><creatorcontrib>Ballestra, Luca Vincenzo</creatorcontrib><title>Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps</title><description>The mixed fractional Brownian motion ($mfBm$) 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 $mfBm$.
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 $mfBm$ and the
$mfBm$ with Poisson log-normally distributed jumps are taken into account.</description><subject>Mathematics - Probability</subject><subject>Quantitative Finance - Pricing of Securities</subject><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2021</creationdate><recordtype>article</recordtype><sourceid>GOX</sourceid><recordid>eNotj01ugzAUhL3pokp7gK76LgA1NgZ7SaP-SZEiVd3Th40TR8EgG5rk9oW0q5FGM6P5CHnIaJpLIegThrP7SVlGRUoLpdQt-a70OGFweIQ4Bhzb3QVsH2AITju_gyo69NAPo-t9hMmbNgBC586tARtQL_7cfQ79yS_Jrl8cOLlxD4epG-IdubF4jO39v67I5-vL1_o92WzfPtbVJsGiVIkSKEtdoGw4o9q2FhlXtpkvSs6pMKbMUFjkWZ4ZhihpqawRjSxyyxjnK_L4N3oFrOfzHYZLvYDWV1D-C-GVT74</recordid><startdate>20210514</startdate><enddate>20210514</enddate><creator>Shokrollahi, Foad</creator><creator>Ahmadian, Davood</creator><creator>Ballestra, Luca Vincenzo</creator><scope>AKZ</scope><scope>GOX</scope></search><sort><creationdate>20210514</creationdate><title>Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps</title><author>Shokrollahi, Foad ; Ahmadian, Davood ; Ballestra, Luca Vincenzo</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a679-95a87c6a8b320cfefa239fb99983305dd71a5fa3141d2aa8079fd5b864f2233</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2021</creationdate><topic>Mathematics - Probability</topic><topic>Quantitative Finance - Pricing of Securities</topic><toplevel>online_resources</toplevel><creatorcontrib>Shokrollahi, Foad</creatorcontrib><creatorcontrib>Ahmadian, Davood</creatorcontrib><creatorcontrib>Ballestra, Luca Vincenzo</creatorcontrib><collection>arXiv Mathematics</collection><collection>arXiv.org</collection></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext_linktorsrc</fulltext></delivery><addata><au>Shokrollahi, Foad</au><au>Ahmadian, Davood</au><au>Ballestra, Luca Vincenzo</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps</atitle><date>2021-05-14</date><risdate>2021</risdate><abstract>The mixed fractional Brownian motion ($mfBm$) 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 $mfBm$.
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 $mfBm$ and the
$mfBm$ with Poisson log-normally distributed jumps are taken into account.</abstract><doi>10.48550/arxiv.2105.06999</doi><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext_linktorsrc |
| identifier | DOI: 10.48550/arxiv.2105.06999 |
| ispartof | |
| issn | |
| language | eng |
| recordid | cdi_arxiv_primary_2105_06999 |
| source | arXiv.org |
| subjects | Mathematics - Probability Quantitative Finance - Pricing of Securities |
| title | Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-20T13%3A46%3A29IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-arxiv_GOX&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Actuarial%20strategy%20for%20pricing%20Asian%20options%20under%20a%20mixed%20fractional%20Brownian%20motion%20with%20jumps&rft.au=Shokrollahi,%20Foad&rft.date=2021-05-14&rft_id=info:doi/10.48550/arxiv.2105.06999&rft_dat=%3Carxiv_GOX%3E2105_06999%3C/arxiv_GOX%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_id=info:pmid/&rfr_iscdi=true |