A Pricing Model For Asian Rainbow Option Based On Sub-Fractional Jump-Diffusion Process And Vasicek Model

The development of society,science and technology has promoted the rise of the complexity of the financial market.The basic European options and American options can not meet the trading needs of investors.Therefore,financial institutions in various countries have designed many singular options with flexible trading methods.Asian rainbow option is an important representative.The research on the pricing model of Asian rainbow option has important theoretical value and practical significance.Sub fractional Brownian motion is a stochastic process that can describe the long-term correlation of financial asset prices more accurately.The underlying asset price motion process based on sub fractional Brownian motion can make option pricing more accurate.In order to study the pricing model of Asian rainbow option under the sub--fractional jump diffusion process of random interest rate,based on Delta risk free hedging principle and multidimensional sub-fractional Ito’s lemma,the stochastic partial differential equation and its initial boundary value conditions satisfied by Asian rainbow option price under sub-fractional diffusion process and sub-fractional jump diffusion process are derived,and the variable substitution technique is used,It is transformed into a classical heat conduction equation,the pricing formulas of constant interest Asian rainbow options under sub fractional diffusion process and sub fractional jump diffusion process are further obtained by using the classical solution formula of heat equation,the pricing formula of random interest Asian rainbow options under sub fractional diffusion process and sub fractional jump diffusion process are further obtained by using the classical solution formula of heat equation.The research of this paper can provide reference for the research of other two-dimensional singular option pricing problems...