Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models
Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that the exchange rate follows the extended Vasice...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/259297 |
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| _version_ | 1832558973972119552 |
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| author | Kaili Xiang Yindong Zhang Xiaotong Mao |
| author_facet | Kaili Xiang Yindong Zhang Xiaotong Mao |
| author_sort | Kaili Xiang |
| collection | DOAJ |
| description | Option pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that the exchange rate follows the extended Vasicek model, we obtain the closed form of the pricing formulas for two kinds of power options under fractional Brownian Motion (FBM) jump-diffusion models. |
| format | Article |
| id | doaj-art-f136bd9c3596443081aa1b8bb9ec4e42 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-f136bd9c3596443081aa1b8bb9ec4e422025-02-03T01:31:12ZengWileyAbstract and Applied Analysis1085-33751687-04092014-01-01201410.1155/2014/259297259297Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion ModelsKaili Xiang0Yindong Zhang1Xiaotong Mao2School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074, ChinaSchool of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074, ChinaSchool of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074, ChinaOption pricing is always one of the critical issues in financial mathematics and economics. Brownian motion is the basic hypothesis of option pricing model, which questions the fractional property of stock price. In this paper, under the assumption that the exchange rate follows the extended Vasicek model, we obtain the closed form of the pricing formulas for two kinds of power options under fractional Brownian Motion (FBM) jump-diffusion models.http://dx.doi.org/10.1155/2014/259297 |
| spellingShingle | Kaili Xiang Yindong Zhang Xiaotong Mao Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models Abstract and Applied Analysis |
| title | Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models |
| title_full | Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models |
| title_fullStr | Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models |
| title_full_unstemmed | Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models |
| title_short | Pricing of Two Kinds of Power Options under Fractional Brownian Motion, Stochastic Rate, and Jump-Diffusion Models |
| title_sort | pricing of two kinds of power options under fractional brownian motion stochastic rate and jump diffusion models |
| url | http://dx.doi.org/10.1155/2014/259297 |
| work_keys_str_mv | AT kailixiang pricingoftwokindsofpoweroptionsunderfractionalbrownianmotionstochasticrateandjumpdiffusionmodels AT yindongzhang pricingoftwokindsofpoweroptionsunderfractionalbrownianmotionstochasticrateandjumpdiffusionmodels AT xiaotongmao pricingoftwokindsofpoweroptionsunderfractionalbrownianmotionstochasticrateandjumpdiffusionmodels |