Pricing of European Barrier Options in a Fractional Brownian Motion

机译：分数布朗运动中的欧洲壁垒期权定价

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In this paper the pricing problem of an European Barrier option is considered in a fractional Black-Scholes model which the underlying asset price is assumed to be satisfy a geometric fractional Brownian motion. The closed-form solution of this option is obtained by using the change approach of variables and partial differential equation. We also provide a call-put parity relation and some examples.

机译：本文在分数Black-Scholes模型中考虑了欧洲壁垒期权的定价问题，该模型假定基础资产价格满足几何分数布朗运动。通过使用变量和偏微分方程的变化方法，可以得到该选项的闭式解。我们还提供了一个呼叫-销售奇偶关系和一些示例。

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《The International Conference on Management of Technology（2008太原技术管理国际研讨会）论文集》|2008年|605-610|共6页
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Huo Haifeng; Deng Guohe; Wang Biaobiao;
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中图分类经济;
关键词
Fractional Brownian Motion; Barrier Options; PDE;

机译：分数布朗运动;壁垒选项; PDE;

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Pricing of European Barrier Options in a Fractional Brownian Motion

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