An Actuarial Approach to the Minimum or Maximum Option Pricing in Fractional Brownian Motion Environment

摘要：

Assume that the stock prices driven by fractional Brownian motions,we establish the pricing model in fractional Brownian motion environment.Using the physical probability measure of price process and the principle of fair premium,we obtain the explicit pricing formula for Maximum or Minimum Option.

关键词： Maximum or Minimum option fractional Brow-nian motion fair premium

作者: Hong Xue Qiaoyan Li

作者单位: School of Science Xian Polytechnic University Xian,China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 216-219

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）