Title of article
Pricing formula for exchange option in fractional black-scholes model with jumps
Author/Authors
Kim ، Kyong-Hui Faculty of Mathematics - University of Kim Il Sung University , Sin ، Myong-Guk Faculty of Mathematics - University of Kim Il Sung University , Chong ، Un-Hua Faculty of Mathematics - University of Kim Il Sung University
From page
155
To page
164
Abstract
In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to pricing formula for exchange option in fractional Black-Scholes model with jumps.
Keywords
Pricing formula , Exchange option , Fractional Black , Scholes model , Jump noise
Journal title
Journal of Hyperstructures
Journal title
Journal of Hyperstructures
Record number
2774430
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