Paper Title:
Dynamic Pricing Model of Power Options in a Fractional Market
  Abstract

In this paper, we study the new method of option pricing based on the risk preference. We define the equivalent classes of random events based on the historical information and the risk preference. The dynamic pricing model of power options has been studied. Applying the conditional density function of the stock price process, we have given the explicit solution of the model. And we analyze the influence of Hurst parameter on pricing formula.

  Info
Periodical
Advanced Materials Research (Volumes 225-226)
Edited by
Helen Zhang, Gang Shen and David Jin
Pages
338-341
DOI
10.4028/www.scientific.net/AMR.225-226.338
Citation
H. Zhang, W. Y. Meng, "Dynamic Pricing Model of Power Options in a Fractional Market", Advanced Materials Research, Vols. 225-226, pp. 338-341, 2011
Online since
April 2011
Export
Price
$32.00
Share

In order to see related information, you need to Login.

In order to see related information, you need to Login.

Authors: Wen Li Huang, Gui Mei Liu, Sheng Hong Li, An Wang
Abstract:Under the assumption of stock price and interest rate obeying the stochastic differential equation driven by fractional Brownian motion, we...
787
Authors: Hui Zhang, Wen Yu Meng
Abstract:The fractional financial market with Knightian uncertainty is studied. Using the important theories of the quasi conditional expectation and...
675
Authors: Chu Jin Li, Jian Ping Wan
Reverse Engineering
Abstract:In many theoretical analysis and engineering application fields, fractional Brownian motions has proposed to be a valuable random excitation...
1546