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Pricing of Compound Option Model With Stock Price Driven by FBM(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2010年01期
Page:
6-10
Research Field:
数学
Publishing date:

Info

Title:
Pricing of Compound Option Model With Stock Price Driven by FBM
Author(s):
Zhao Wei
School of Business,Huaihai Institute of Technology,Lianyungang 222001,China
Keywords:
fractiona l brown ian m otion;  quas-im arting ale pricing;  fractiona l B lack-Scho les mode; l compound option
PACS:
F830.91;F224
DOI:
-
Abstract:
The se l-f sim ilar ity and long- rang e dependence properties m ake the Frac tiona l B rown ian m otion a suitable too l in d ifferen t applications likem a them atical finance. Th is paper used the hypotheses that asse rt price follow ed geome tr ic FBM to construct the It? fractional B lack-Scholes m arket. U sing of quas-i m artinga lem ethod based on the fractiona l r isk neutra lm easure, this paper so lved fractiona l Black-Scho les m ode.l M oreove r pr ic ing of com pound option mode l w ith stock pr ice dr iven by FBM w as discussed. The result show ed frac tiona l option pr ice, compared to c lassical option price, depends on m atur ity tim e and H urst parameter.

References:

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Last Update: 2013-04-08