Yan Chuan-peng
Abstract
European options pricing model is obtained under Vasicek model by using the methods of Δ-hedging and approximation process of assets price which is driven by fractional Brownian motion(FBM),and the close formula is also given.As a result,the classical Black-Scholes formula is improved.
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European options pricing model is obtained under Vasicek model by using the methods of Δ-hedging and approximation process of assets price which is driven by fractional Brownian motion(FBM),and the close formula is also given.As a result,the classical Black-Scholes formula is improved.
Key concepts: Vasicek model, Fractional Brownian motion, Black–Scholes model, Brownian motion, Mathematics, Applied mathematics, Geometric Brownian motion, Econometrics