Pricing European Option under Fractional Jump-diffusion Ornstein-Uhlenbeck Model

摘要：

Assume that the stock price obey the stochastic differential equation driven by fractional Brownian motion and compound Poisson process, we build the fractional jump-diffusion Ornstein-Uhlenbeck model. Using physical probability measure of price process and the fair premium, we obtain the price explicit expression of the European option. It generalizes the Black-Scholes model.

关键词： Fractional Brownian Motion Jump-diffusion Model Fair Premium

作者: XUE Hong SUN Yu-dong

作者单位: School of Science, Xian Polytechnic University, Xian, P.R.China, 710048

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-7

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）