Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion

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Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established.The method of partial differential equations was used to solve this model and the analytical Sauce Dispenser expressions of the Asian option value were obtained.The numerical experiments show that Hurst exponent of the fractional Brownian motion and transaction cost rate have a significant impact Jeans on the option value.