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Research on Depressed Option Pricing Driven byBifractional Brownian Motion(PDF)

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

Issue:
2017年04期
Page:
21-
Research Field:
·数学与计算机科学·
Publishing date:

Info

Title:
Research on Depressed Option Pricing Driven byBifractional Brownian Motion
Author(s):
Zhao Wei
School of Business,Huaihai Institute of Technology,Lianyungang 222005,China
Keywords:
bifractional Brownian motionQuasi-martingalebifractional Black-Scholes modeldepressed option
PACS:
F830.9
DOI:
10.3969/j.issn.1001-4616.2017.04.005
Abstract:
Considering of fractional character,Brownian motion is non-reasonable for basic assumption to option pricing model. Fractional Brownian motion suit for the fractional property of financial assets,but it is not a semi-martingale lead to failure to apply stochastic analysis. This paper sets the assert price followed bifractional Brownian motion,and construct quasi-martingale method under the risk neutral measure to solve bifractional Black-Scholes model and two kinds of depressed option by the same way. The results show bifractional Brownian motion and standard Brownian motion become a special example,and the method is important significance of option pricing diven by many kinds of modified Brownian motion.

References:

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Last Update: 2017-12-30