ASIAN OPTION PRICING WITH TRANSACTION COSTS UNDER CEV MODEL BY MIXED FRACTIONAL BROWNIAN MOTION

One ‎of ‎the‎ phenomena observed in the real market is long-range dependence. Mixed fractional Brownian motion with Hurst parameter can be a suitable tool to capture it. Also, stock price volatility is increasing when the stock price is decreasing in many markets. ‎‎Hence, ‎th‏e ‎‎‎main objective of this work is to obtain the pricing formula for geometric average Asian options base on the fractional Black-Scholes equation under the constant elasticity of variance (CEV) model and mixed fractional Brownian motion model with transaction costs and time-dependent parameters in a discrete-time setting when ‎the dividend yeild is paid on assets during that period.‎‎‎