We derived an expression for the floating strike put arithmetic asian options in financial market when the asset is driven by the generalized Barndorff-Nielsen and Shephard model with stochastic volatility. A solution procedure for the resulting partial differential equation is provided using the technique of Mellin transforms.
Submitted July 22, 2013. Published November 3, 2014.
Math Subject Classifications: 91G60, 91G70, 91G80
Key Words: Asian option; Ornstein-Uhlenbeck type process; Levy processes; martingale; Mellin transform.
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| Indranil Sengupta |
Department of Mathematics
North Dakota State University
Fargo, ND 58102, USA
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