شماره ركورد كنفرانس :
4155
عنوان مقاله :
Option pricing in a fractional model
پديدآورندگان :
Askari Raziyeh roz8912@gmail.com University of Technology in Shahrood , Dastranj Elham dastranj.e@gmail.com University of Technology in Shahrood
كليدواژه :
Fractional Taylor formula , Fractional jump double Heston , Jump.
عنوان كنفرانس :
اولين همايش ملي روشهاي مدرن در قيمت گذاري هاي بيمه اي و آمارهاي صنعتي
چكيده فارسي :
In this paper, option pricing is driven when the dynamic of underling asset price follows a fractional model with jump. Using the properties of fractional Taylor formula and fractional Ito formula for H in [0.5,1) a new model named fractional jump double Heston is presented .
