-Pricing of Option with Power Payoff Driven by Mixed Fractional Brownian Motion

摘要：

Assuming that the stock price obeys the stochastic differential equation driven by mixed fractional Brownian motion,we establish the mathematical model for the financial market in mixed fractional Brownian motion setting with Hurst parameter greater than 0.5. Under the fractional risk neutral measure,we get the unique equivalent measure by using fractional Girsanov theorem. With quasi-martingale method,we obtain the general pricing formula for the European call option with power payoff,which makes the fractional Brownian motion as an especial case. At same time,we get the explicit expression for the European put option with power payoff and the call-put parity.

关键词： mixed fracional Brownian motion quasimartingale power option

作者: Xu Feng Sun Quan

作者单位: Business Department Suzhou Vocational University Suzhou,China

会议类型: 国际会议

会议名称: The Third International Conference on Business Intelligence and Financial Engineering(第三届商务智能与金融工程国际会议 BIFE 2010)

会议地点: 香港

会议语种:英文

页码: 170-173

在线出版日期: 2010-08-17（万方平台首次上网日期，不代表论文的发表时间）