Randomized trial evaluates pricing Asian options, suggesting an effective analytical approach for valuation.
The pricing problem of Asian options is investigated under the generalized fractional Brownian motion model. The analytical formula for pricing geometric Asian option with fixed strike price is derived. An approximate analytical formula for valuing arithmetic Asian option is obtained. Moreover, We validate the accuracy of the analytical formula through Monte Carlo simulation, and provide some numerical analysis results.
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Zhidong Guo (2026) studied this question.
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