2015•Journal of Northwest Normal UniversityRequires access

European option pricing for the mixed fractional Brownian motion with Vasicek interest rate

XU Fen

Abstract

Assuming that the riskless interest rate is driven by Vasicek model,the European option pricing is changed into the question of solving partial differential equation by Itformula of mixed fractional Brownian motion.Finally,ageneral pricing formula of European option is obtained by using the partial differential equation method.

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Available abstract

Key concepts: Vasicek model, Interest rate, Mathematics, Partial differential equation, Brownian motion, Fractional Brownian motion, Applied mathematics, Mathematical analysis