2021
DOI: 10.2298/fil2113427h
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On numerical pricing of put-call parities for Asian options driven by new time-fractional Black-Scholes evolution equation

Abstract: The objective of this paper is twofold. Firstly, to derive time-fractional evolution equation modeling the No-Arbitrage premium of Asian option (with arithmetic and geometric averages ) contingent upon an underlying asset that satisfies the fractional stochastic differential equation, in a setting when the strike price is fixed and floating. Secondly, we have computed the four versions of the put-call parities for Asian options, by solving the time-fractional Black-Scholes evolution modeling … Show more

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