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
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;
Conference_Titel :
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4244-6927-7
DOI :
10.1109/ICIFE.2010.5609287
