An Actuarial Approach to Reload Option Pricing in Fractional Jump-diffusion Environment

摘要：

　　Assume that the underlying asset price follows the fractional jump-diffusion process, the financial market model is built by the stochastic analysis theory for fractional Brownian motion.Using physical probabilistic measure of price process and the principle of fair premium, the pricing formula for reload option is obtained.

关键词： Reload Option Actuary Method Jump-diffusion Process Fractional Brownian Motion

作者: Hong Xue Yonghong He

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

会议类型: 国际会议

会议名称: 2013 International Conference on Education Technology and Information Systems(ICETIS2013)2013教育技术与信息系统国际会议

会议地点: 三亚

会议语种:英文

页码: 430-433

在线出版日期: 2013-06-21（万方平台首次上网日期，不代表论文的发表时间）