An actuarial approach to the minimum or maximum option pricing in fractional Brownian motion environment

机译：分数布朗运动环境下最小或最大期权定价的精算方法

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摘要

Assume that the stock prices driven by fractional Brownian motions, we establish the pricing model in fractional Brownian motion environment. Using the physical probability measure of price process and the principle of fair premium, we obtain the explicit pricing formula for Maximum or Minimum Option.

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《2nd IEEE International Conference on Information and Financial Engineering》|2010年|p.216-219|共4页
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Xue Hong; Li Qiaoyan;
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正文语种
中图分类自动化技术、计算机技术;
关键词
Maximum or Minimum option; fair premium; fractional Brownian motion;

机译：最高或最低期权;公平溢价;分数布朗运动;

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4. An actuarial approach to the minimum or maximum option pricing in fractional Brownian motion environment [C] . Xue Hong, Li Qiaoyan 2nd IEEE International Conference on Information and Financial Engineering . 2010

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5. Estimation of the Hurst Exponent in Fractional Brownian Motion Driven Volatility Using High Frequency Data and Option Prices [D] . Nirhale, Nikhil. 2018

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6. Lookback Option Pricing with Fixed Proportional Transaction Costs under Fractional Brownian Motion [O] . Jiao-Jiao Sun, Shengwu Zhou, Yan Zhang, 2014

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7. Actuarial approach in a mixed fractional Brownian motion with jumps environment for pricing currency option [O] . 2015

机译：具有跳跃环境的混合分数布朗运动的精算方法对货币期权定价。

An actuarial approach to the minimum or maximum option pricing in fractional Brownian motion environment

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