DocumentCode
2852251
Title
Pricing Perpetual American Option under the Fractional Black-Scholes Model
Author
Huang, Wenli ; Li, Shenghong ; Zhang, Songyan
Author_Institution
Dept. of Math., Zhejiang Univ., Hangzhou, China
fYear
2010
fDate
13-15 Aug. 2010
Firstpage
165
Lastpage
169
Abstract
Under the assumption of the underlying asset is driven by the fractional Black-Scholes Brownian Motion, we use a self-financing delta-hedging strategy to obtain a discrete time pricing formula for perpetual American put option. We also show that timestep and long-range dependence have a significant impact on option pricing.
Keywords
financial management; mathematical analysis; pricing; discrete time pricing formula; fractional Black-Scholes Brownian motion; fractional Black-Scholes model; long range dependence; option pricing; pricing perpetual American option; selffinancing delta hedging strategy; Biological system modeling; Brownian motion; Economics; Mathematical model; Portfolios; Pricing; Yttrium; delta-hedging; early exercise boundary; fractional Black-Scholes model; perpetual American option;
fLanguage
English
Publisher
ieee
Conference_Titel
Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on
Conference_Location
Hong Kong
Print_ISBN
978-1-4244-7575-9
Type
conf
DOI
10.1109/BIFE.2010.47
Filename
5621752
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