Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models (Q1722471)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7022022
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models |
scientific article; zbMATH DE number 7022022 |
Statements
Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models (English)
0 references
14 February 2019
0 references
Summary: 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.
0 references
power options
0 references
fractional Brownian motion, stochastic exchange rate
0 references
jump-diffusion model
0 references
extended Vasicek model
0 references
0.8714213967323303
0 references
0.8589602112770081
0 references
0.8467420935630798
0 references
0.8467139601707458
0 references
0.843671441078186
0 references
