DocumentCode
2667307
Title
An actuarial approach to the minimum or maximum option pricing in fractional Brownian motion environment
Author
Xue, Hong ; Li, Qiaoyan
Author_Institution
Sch. of Sci., Xi´´an Polytech. Univ., Xi´´an, China
fYear
2010
fDate
17-19 Sept. 2010
Firstpage
216
Lastpage
219
Abstract
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.
Keywords
pricing; stock markets; fractional Brownian motion environment; option pricing; stock prices; Brownian motion; Economic indicators; Finance; Insurance; Pricing; Stochastic processes; Maximum or Minimum option; fair premium; fractional Brownian motion;
fLanguage
English
Publisher
ieee
Conference_Titel
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location
Chongqing
Print_ISBN
978-1-4244-6927-7
Type
conf
DOI
10.1109/ICIFE.2010.5609287
Filename
5609287
Link To Document