From Discrete to Continuous: A High-Accuracy Approximation for Pricing Arithmetic Asian Options Under Mixed Fractional Brownian Motion
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Biglari, M., Ahmadian, D., & Shokrollahi, F. (2026). From Discrete to Continuous: A High-Accuracy Approximation for Pricing Arithmetic Asian Options Under Mixed Fractional Brownian Motion. Mathematical Methods in the Applied Sciences. https://doi.org/10.1002/mma.70506
© 2026 John Wiley & Sons. This is the peer reviewed version of the following article: Biglari, M., Ahmadian, D., & Shokrollahi, F. (2026). From Discrete to Continuous: A High-Accuracy Approximation for Pricing Arithmetic Asian Options Under Mixed Fractional Brownian Motion. Mathematical Methods in the Applied Sciences, which has been published in final form at https://doi.org/10.1002/mma.70506. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. This article may not be enhanced, enriched or otherwise transformed into a derivative work, without express permission from Wiley or by statutory rights under applicable legislation. Copyright notices must not be removed, obscured or modified. The article must be linked to Wiley’s version of record on Wiley Online Library and any embedding, framing or otherwise making available the article or pages thereof by third parties from platforms, services and websites other than Wiley Online Library must be prohibited.
Lataukset1
Pysyvä osoite
Emojulkaisu
ISBN
ISSN
1099-1476
0170-4214
0170-4214
Aihealue
Kausijulkaisu
Mathematical methods in the applied sciences
OKM-julkaisutyyppi
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä (vertaisarvioitu)