Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si287.svg" display="inline" id="d1e5133"><mml:mi>w</mml:mi></mml:math> sources of risk in fuzzy environment-Reference-Cited by-同舟云学术

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Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with w sources of risk in fuzzy environment

Published:2025-01 Issue: Volume:453 Page:116165
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Alsenafi Abdulaziz^ORCID,Alazemi Fares,Najafi Alireza

Publisher

Elsevier BV

Reference36 articles.

1. A PDE approach to Asian options: analytical and numerical evidence;Alziary;J. Bank. Financ.,1997

2. Asian options with the American early exercise feature;Wu;Int. J. Theor. Appl. Finance,1999

3. On Asian option pricing for NIG Lévy processes;Albrecher;J. Comput. Appl. Math.,2004

4. An efficient convergent lattice algorithm for European Asian options;Dai;Appl. Math. Comput.,2005

5. Equivalence of floating and fixed strike Asian and lookback options;Eberlein;Stochastic Process. Appl.,2005

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