Pricing geometric Asian rainbow options under the mixed fractional Brownian motion

We deal with the pricing of geometric Asian rainbow options under the mixed fractional Brownian motion. Based on standard no arbitrage arguments, we obtain a partial differential problem in several independent variables, which we solve by employing suitable changes of variables and analytical results derived in Bos and Ware (2001) and Stulz (1982b). Numerical test-cases are presented in which the pricing formula obtained is applied to geometric Asian rainbow options on two and three underlying assets. Monte Carlo simulations are also performed which confirm the correctness of the proposed closed-form solution. •We price geometric Asian rainbow options on several underlying assets.•An exact analytical formula for the option price is obtained.•The closed-form solution is fast and simple to implement.•Numerical results for options on two and three assets are presented.•The analytical formula is in accordance with Monte Carlo simulations.