An approach to the Asian rainbow option's PDE under the fractional Brownian motion
کد مقاله : 1063-FEMATH5 (R1)
نویسندگان:
Mandana Bidarvand1، علی صفدری *2
1تهران،ستارخان،خیابان شهرآرا، مجتمع نسترن.بلوکE32
2دانشکده علوم ریاضی و رایانه دانشگاه علامه طباطبائی
چکیده مقاله:
‎Since today we are dealing with increasingly risky derivative markets‎, ‎researchers have come up with new complex derivatives‎, ‎in order to control or even reduce the level of financial market risk‎. ‎Among these new derivatives‎, ‎here we want to explore the rainbow options which are sort of multi-asset options and also an important type of exotic options‎. ‎In other words‎, ‎rainbow options refer to all options whose payoff depends on more than one underlying risky asset‎. ‎To be more precise‎, ‎we want to investigate the Asian rainbow options‎. ‎Asian options‎, ‎also known as the average options‎, ‎refer to the options whose payoff depends on the average price of the underlying asset over some prescribed time and in this case‎, ‎Asian rainbow options‎, ‎we will consider the average price of each underlying asset‎. ‎In this paper‎, ‎we mainly scrutinize Asian rainbow options under the condition that the assets have the characteristic of self-similarity and long-range dependence‎. ‎And our purpose is to obtain the pricing formula for two-asset Asian rainbow options under fractional Brownian motion based on no-arbitrage principle‎, ‎stochastic differential equation‎, ‎and partial differential equation‎.
کلیدواژه ها:
Exotic Options‎, ‎Rainbow Options‎, ‎Fractional Brownian motion
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