Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models
Joint Authors
Xiang, Kaili
Zhang, Yindong
Mao, Xiaotong
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-10-21
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Option pricing is always one of the critical issues in financial mathematics and economics.
Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price.
In this paper, under the assumption that the exchange rate follows the extended Vasicek model, we obtain the closed form of the pricing formulas for two kinds of power options under fractional Brownian Motion (FBM) jump-diffusion models.
American Psychological Association (APA)
Xiang, Kaili& Zhang, Yindong& Mao, Xiaotong. 2014. Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013570
Modern Language Association (MLA)
Xiang, Kaili…[et al.]. Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models. Abstract and Applied Analysis No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1013570
American Medical Association (AMA)
Xiang, Kaili& Zhang, Yindong& Mao, Xiaotong. Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013570
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013570
