fractional process

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  • noun

Synonyms for fractional process

a process that uses heat to separate a substance into its components

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Table 1 reports additional example for pricing arithmetic Asian power call option on underlying asset driven by jump fractional process by using control variate technique in the Monte Carlo simulation described above.
65 [lambda]=0, hereafter FBM), and our jump fractional process (H=0.
We further find the prices obtained by different valuation processes is positive related to power [alpha], when [alpha]=1, the standard arithmetic Asian option is obtained in the jump fractional process, which extends the result presented by Kemna and Vorst (1990).
Furthermore, the numerical result is also provided to show that the power can adjust the option price to satisfy risk-hedging and jump fractional process will be more efficient for pricing Asian power options than jump diffusion process and fractional Wiener process when the time maturity and jump are large enough.
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