|Table of Contents|

Research on Pricing of Depressed Option Stock Under Fractional Brownian Motion Environment(PDF)

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

Issue:
2012年03期
Page:
11-16
Research Field:
数学
Publishing date:

Info

Title:
Research on Pricing of Depressed Option Stock Under Fractional Brownian Motion Environment
Author(s):
Zhao Wei
School of Business,Huaihai Institute of Technology,Lianyungang 222001,China
Keywords:
fractional Brownian motionquasi-martingalefractional Black-Scholes modeldepressed option
PACS:
F830.91;F224
DOI:
-
Abstract:
Considering of fractional character,Brownian motion is non-reasonable for basic assumption to option pricing model. This paper sets the assert price followed fractional Brownian motion to construct quasi-martingale method under the risk neutral measure,which can simplify the proceeding of solving fractional Black-Scholes. Furthermore,this paper solves two kinds of depressed option by the same way and gets the pricing equation driven by FBM.

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Last Update: 2013-03-11