Option Pricing on Fractional Correlated Stocks

摘要：

In this paper, we explore the equation of option pricing problem on assumption that the underlying noise in the system is driven by a fractional Ornstein-Uhlenbeck process. The formula of European call option price on this assumption is obtained by perfect hedging.

关键词： fractional colored noise stochastic differential equations option pricing fractional brownian motion wick product

作者: TAO Xiangxing SHI Yafeng

作者单位: School of Sci.Zhejiang University of Science and Technology, Hangzhou, P.R.China, 310023 Faculty of Science, Ningbo University, Ningbo, P.R.China, 315211

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 539-545

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）