LIU Shaoyue, YANG Xiangqun. Pricing of European Contingent Claim in Fractional Brownian Motion Environment[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(4): 429-434.
Citation: LIU Shaoyue, YANG Xiangqun. Pricing of European Contingent Claim in Fractional Brownian Motion Environment[J]. Chinese Journal of Applied Probability and Statistics, 2004, 20(4): 429-434.
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Pricing of European Contingent Claim in Fractional Brownian Motion Environment

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  • Under the hypothesis of underlying asset price submitting to Geometric Fractional Brownian Motion, we obtain the generalized pricing formula of European contingent claim and the prices of some exotic options.
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