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In this paper, an approximate formula for the value of American option with a stock price driven by a geometric fractional Black-Scholes model is derived. A special case of the model would be the model driven by the standard Brownian motion.
For deriving the approximate formula of American-style Asian option in the fractional Black-Scholes model, this paper take the American-style Asian put Option as example. First, derived the formulas of European-style geometric average Asian option with fix strike price by partial differential equation method briefly. Based on the formulas, the quadratic… (More)