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