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 Irritable Bowel Syndrome differential equations was used to solve this model and the analytical expressions of the Asian option value were obtained.The numerical experiments show that Hurst exponent of the fractional Brownian Stencil and Cookie Cutter Sets motion and transaction cost rate have a significant impact on the option value.