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Pricing of Binary Options with Two Underlyings Under Stochastic Interest Rate About Fractional Brownian Motion(PDF)

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

Issue:
2025年01期
Page:
6-12
Research Field:
数学
Publishing date:

Info

Title:
Pricing of Binary Options with Two Underlyings Under Stochastic Interest Rate About Fractional Brownian Motion
Author(s):
Huang Fengyun1; Liu Guoxiang2; Wang Chengdong2; Zhang Xinjie2
(1.Guangxi Normal University Press,Guilin 541004,China)
(2.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)
Keywords:
fractional Brownian motion; random interest rate; quasi-martingale method; change valuation unit
PACS:
F830.9
DOI:
10.3969/j.issn.1001-4616.2025.01.002
Abstract:
In this paper,the quasi-martingale method with different pricing units is used to derive the pricing formulas of the two types of binary two-value options with the random interest rate obeying Vasicek model and the two types of underlying assets obeying the standard fractional Brownian motion with certain correlation.

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Last Update: 2025-02-15