Acta Mathematica Vietnamica

CURRENT ISSUE


 

RECENT ISSUES

Volume 42, 2017

Volume 41, 2016

Volume 40, 2015

Volume 39, 2014

Volume 38, 2013


 

 
mod_vvisit_countermod_vvisit_countermod_vvisit_countermod_vvisit_countermod_vvisit_countermod_vvisit_countermod_vvisit_countermod_vvisit_countermod_vvisit_counter

Print

 

 

Fractional Functional with two Occurrences of Integrals and Asymptotic Optimal Change of Drift in the Black-Scholes Model
R. A. El-Nabulsi

 

Abstract

The fractional action-like variational approach for the case of functional with two occurrences of fractional action integrals is constructed. Our motivation is based on the fact that a functional with two occurrences of integrals has many advantages in optimization problems and financial engineering issues. After deriving the corresponding fractional Euler-Lagrange equation and discussing some examples, we addressed the problem of Asian call option. We derived the asymptotically optimal change of fractional drift for the geometric average Asian call option and gave some new consequences.

You are here: Home No. 4