Dynamic Pricing Model of Power Options in a Fractional Market

Hui Zhang; Wen Yu Meng

doi:10.4028/www.scientific.net/AMR.225-226.338

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 225-226Dynamic Pricing Model of Power Options in a...

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.

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Periodical:

Advanced Materials Research (Volumes 225-226)

Pages:

338-341

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.225-226.338

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Online since:

April 2011

Authors:

Hui Zhang, Wen Yu Meng

Keywords:

Conditional Density, Fractional Brownian Motion, Power Option, Risk Preference

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