Title :
Maximum or Minimum Option Pricing Model in Fractional Jump-Diffusion Environment
Author :
Xue, Hong ; Huang, Kaiyuan
Author_Institution :
Sch. of Sci., Xi´´an Polytech. Univ., Xi´´an, China
Abstract :
Assume that the stock prices satisfy the fractional jump-diffusion processes, the financial market model in fractional Jump-diffusion environment is built. By means of actuarial method and fractional jump-diffusion process theory, the explicit pricing formulae for European maximum or minimum option are obtained.
Keywords :
pricing; share prices; stochastic processes; European maximum option pricing model; European minimum option pricing model; actuarial method; fractional jump-diffusion environment; fractional jump-diffusion process theory; Brownian motion; Europe; Mathematical model; Nickel; Pricing; Silicon;
Conference_Titel :
Management and Service Science (MASS), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-6579-8
DOI :
10.1109/ICMSS.2011.5998529
