| 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 |
| وضعیت: پذیرفته شده برای ارسال فایل های ارائه پوستر |