Pricing Formulas of Compound Options under the Fractional Brownian Motion

DOI10.1007/978-3-642-22833-9_29zbMath1269.91038MaRDI QIDQ2838665

Chao Zhang, Jizhou Zhang, Dongya Tao

Publication date: 10 July 2013

Published in: Advances in Intelligent and Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-22833-9_29

zbMATH Keywords

fractional Brownian motion; Black-Scholes formula; compound option

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

91B24: Microeconomic theory (price theory and economic markets)

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)