Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps [article]

Foad Shokrollahi, Davood Ahmadian, Luca Vincenzo Ballestra
2021 arXiv   pre-print
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
more » ... r 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.
arXiv:2105.06999v1 fatcat:nhcmvusujresxkm25p7ppw2gtu