Peng, Bin; Peng, Fei - In: Journal of Economics, Finance and Administrative Science 17 (2012) 33, pp. 2-9
A framework for pricing Asian power options is developed when the underlying asset follows a jumpfraction process. The partial differential equation (PDE) in the fractional environment with jump is constructed for such option using general Itô’s lemma and self-financing dynamic strategy. With...