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• W2898889721 abstract "This paper is dedicated to the study of the geometric average Asian call option pricing under non-extensive statistical mechanics for a time-varying coefficient diffusion model. We employed the non-extensive Tsallis entropy distribution, which can describe the leptokurtosis and fat-tail characteristics of returns, to model the motion of the underlying asset price. Considering that economic variables change over time, we allowed the drift and diffusion terms in our model to be time-varying functions. We used the I t o ^ formula, Feynman–Kac formula, and P a d e ´ ansatz to obtain a closed-form solution of geometric average Asian option pricing with a paying dividend yield for a time-varying model. Moreover, the simulation study shows that the results obtained by our method fit the simulation data better than that of Zhao et al. From the analysis of real data, we identify the best value for q which can fit the real stock data, and the result shows that investors underestimate the risk using the Black–Scholes model compared to our model." @default.
• W2898889721 created "2018-11-09" @default.
• W2898889721 creator A5002402073 @default.
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• W2898889721 date "2018-10-28" @default.
• W2898889721 modified "2023-09-25" @default.
• W2898889721 title "Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model" @default.
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• W2898889721 doi "https://doi.org/10.3390/e20110828" @default.
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• W2898889721 hasPublicationYear "2018" @default.
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