Dynamic Pricing Model of Power Options in a Fractional Market

Abstract:

Article Preview

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 and 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:

$35.00

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

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