From Discrete to Continuous: A High-Accuracy Approximation for Pricing Arithmetic Asian Options Under Mixed Fractional Brownian Motion

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dc.contributor.authorBiglari, Mehdi
dc.contributor.authorAhmadian, Davood
dc.contributor.authorShokrollahi, Foad
dc.date.accessioned2026-06-11T08:08:00Z
dc.date.issued2026
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|
dc.embargo.lift2027-05-04
dc.embargo.terms2027-05-04
dc.identifier.citationBiglari, 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
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/20798
dc.identifier.urnURN:NBN:fi-fe2026061166716
dc.language.isoen
dc.publisherJohn Wiley & Sons
dc.relation.doihttps://doi.org/10.1002/mma.70506
dc.relation.ispartofjournalMathematical methods in the applied sciences
dc.relation.issn1099-1476
dc.relation.issn0170-4214
dc.relation.urlhttps://doi.org/10.1002/mma.70506
dc.relation.urlhttps://urn.fi/URN:NBN:fi-fe2026061166716
dc.rights.copyright© 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.
dc.source.identifierWOS:001754977700001
dc.source.identifier2-s2.0-105037870429
dc.source.identifierbd453e80-11da-4e76-b61f-3765f7e0dc32
dc.source.metadataSoleCRIS
dc.subjectarithmetic Asian option
dc.subjectcontrol variate technique
dc.subjectgeometric Asian option
dc.subjectmixed fractional Brownian motion
dc.subjectreciprocal gamma distribution
dc.subject.disciplinefi=Matemaattiset tieteet|en=Mathematics|
dc.titleFrom Discrete to Continuous: A High-Accuracy Approximation for Pricing Arithmetic Asian Options Under Mixed Fractional Brownian Motion
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä (vertaisarvioitu)|en=A1 Journal article (peer-reviewed)|
dc.type.publicationarticle
dc.type.versionacceptedVersion

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