Option pricing of geometric Asian options in a subdiffusive Brownian motion regime

In this paper, pricing problem of the geometric Asian option in a subdiffusive Brownian motion regime is discussed. The subdiffusive property is manifested by the random periods of time, during which the asset price does not change. Subdiffusive partial differential equations for geometric Asian option are derived by using delta-hedging strategy. Explicit formula for geometric Asian option is obtained by using partial differential equation method. Furthermore, numerical studies are performed to illustrate the performance of our proposed pricing model. Keywords: hedging; option pricing; subdiffusive process; asian option Mathematics Subject Classification: 91B26, 60H10, 58J35