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For deriving the approximate formula of American-style Asian option in the fractional Black-Scholes model, this paper take the American-style Asian put Option as example. First, derived the formulas of European-style geometric average Asian option with fix strike price by partial differential equation method briefly. Based on the formulas, the quadratic approximation in the standard Black-Scholes...
The long-range dependence and self-similarity of fractional Brownian motion make it an attractive model for traffic in many data transfer networks. Reflected fractional Brownian Motion appears in the storage process of such a network. In this paper, we focus on the simulation of reflected fractional Brownian motion using a straightforward discretization scheme and we show that its strong error is...
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