Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models (Q1722471)
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scientific article; zbMATH DE number 7022022
| Language | Label | Description | Also known as |
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| English | Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models |
scientific article; zbMATH DE number 7022022 |
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Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models (English)
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14 February 2019
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Summary: 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.
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power options
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fractional Brownian motion, stochastic exchange rate
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jump-diffusion model
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extended Vasicek model
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