Department of Mathematics
North Dakota State University
Fargo, ND 58102, USA
email: indranil.sengupta@ndsu.edu
Indranil Sengupta
Abstract:
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 email: indranil.sengupta@ndsu.edu |
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