Journal of Mathematical Finance

Vol.4 No.1(2014), Paper ID 41187, 9 pages

DOI:10.4236/jmf.2014.41001

 

Evaluation of Geometric Asian Power Options under Fractional Brownian Motion

 

Zhijuan Mao, Zhian Liang

 

School of Finance, Shanghai University of Finance and Economics, Shanghai, China
Department of Applied Mathematics, Shanghai University of Finance and Economics, Shanghai, China

 

Copyright © 2014 Zhijuan Mao, Zhian Liang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Z. Mao and Z. Liang, "Evaluation of Geometric Asian Power Options under Fractional Brownian Motion," Journal of Mathematical Finance, Vol. 4 No. 1, 2014, pp. 1-9. doi: 10.4236/jmf.2014.41001.
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