Abstract and Applied Analysis

Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models

Kaili Xiang, Yindong Zhang, and Xiaotong Mao

Full-text: Open access

Abstract

Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that the exchange rate follows the extended Vasicek model, we obtain the closed form of the pricing formulas for two kinds of power options under fractional Brownian Motion (FBM) jump-diffusion models.

Article information

Source
Abstr. Appl. Anal., Volume 2014 (2014), Article ID 259297, 11 pages.

Dates
First available in Project Euclid: 27 February 2015

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1425049847

Digital Object Identifier
doi:10.1155/2014/259297

Mathematical Reviews number (MathSciNet)
MR3273905

Zentralblatt MATH identifier
07022022

Citation

Xiang, Kaili; Zhang, Yindong; Mao, Xiaotong. Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models. Abstr. Appl. Anal. 2014 (2014), Article ID 259297, 11 pages. doi:10.1155/2014/259297. https://projecteuclid.org/euclid.aaa/1425049847


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