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The pricing formulas of compound option based on the sub-fractional Brownian motion model
| Content Provider | Scilit |
|---|---|
| Author | Xu, Feng Li, Runze |
| Copyright Year | 2018 |
| Description | Journal: Journal of Physics: Conference Series Based on the underlying asset driven by a sub-fractional Brownian motion, the formulas of pricing call option on a call option and other three kinds of compound options are derived by risk neutral valuation method. They are similar to the results based on the standard Brownian motion model and the fractional Brownian motion model. |
| Related Links | http://iopscience.iop.org/article/10.1088/1742-6596/1053/1/012027/pdf |
| ISSN | 17426588 |
| e-ISSN | 17426596 |
| DOI | 10.1088/1742-6596/1053/1/012027 |
| Journal | Journal of Physics: Conference Series |
| Issue Number | 1 |
| Volume Number | 1053 |
| Language | English |
| Publisher | IOP Publishing |
| Publisher Date | 2018-07-26 |
| Access Restriction | Open |
| Subject Keyword | Journal: Journal of Physics: Conference Series Applied Mathematics Compound Options Call Option Sub Fractional |
| Content Type | Text |
| Resource Type | Article |
| Subject | Physics and Astronomy |