Dynamic Pricing Model of Power Options in a Fractional Market
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.
Helen Zhang, Gang Shen and David Jin
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