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Pricing formula for exchange option in fractional black-scholes model with jumps | ||
| Journal of Hyperstructures | ||
| دوره 3، شماره 2، اسفند 2014، صفحه 155-164 اصل مقاله (107.57 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22098/jhs.2014.2588 | ||
| نویسندگان | ||
| Kyong-Hui Kim* ؛ Myong-Guk Sin؛ Un-Hua Chong | ||
| Faculty of Mathematics, University of Kim Il Sung University, Pyongyang, D.P.R. Korea | ||
| چکیده | ||
| In this paper pricing formula for exchange option in a fractional Black-Scholes model with jumps is derived. We found out some errors in proof of pricing formula for European call option [7]. At first we revise these errors and then extend this result to pricing formula for exchange option in fractional Black-Scholes model with jumps. | ||
| کلیدواژه‌ها | ||
| Pricing formula؛ Exchange option؛ Fractional Black-Scholes model؛ Jump noise | ||
| مراجع | ||
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[1] R. Cookson, Models of imperfection, Risk, 29 (5) (1992), 55–60. [2] Y.Z. Hu, B. Øksendal, Fractional white noise calculus and applications to finance, Infin. Dimens. Anal. Quantum. Probab. Relat. Top., 6 (1) (2003), 1–32. [3] C.H. Ma, Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lvy jumps, Journal of Mathematical Economics, 42 (2) (2006),131–160. [4] L. Meng, M. Wang, Comparison of Black-Scholes formula with fractional Black-Scholes formula in the foreign exchange option market with changing volatility,Asia-Pacific Finan Markets, 17 (2) (2010), 99–111. [5] R.C. Merton, Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3 (1-2) (1976), 125–144. [6] C. Necula, Option pricing in fractional Brownian motion environment, Academy of Economics Studies Bucharest, Romania, Preprint, 2002. [7] W.L. Xiao, W.G. Zhang, X.L. Zhang, Y.L. Wang, Pricing currency options in a fractional Brownian motion with jumps, Econ. Modell., 27 (5) (2010), 935–942. | ||
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