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2010•Harbin Ligong Daxue xuebaoOpen access

Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis

Kong Fan-liang

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Abstract

Under the fractional Brownian motion environment,this article uses the foundation asset price approaching the process in the property of Martingale.We derive and analyze the stage in having dividend-paying of the option fixed price equation.

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What this paper is about

Under the fractional Brownian motion environment,this article uses the foundation asset price approaching the process in the property of Martingale.We derive and analyze the stage in having dividend-paying of the option fixed price equation.

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Available abstract

Under the fractional Brownian motion environment,this article uses the foundation asset price approaching the process in the property of Martingale.We derive and analyze the stage in having dividend-paying of the option fixed price equation.

Key concepts: Martingale (probability theory), Dividend, Geometric Brownian motion, Fractional Brownian motion, Stock price, Econometrics, Economics, Mathematical economics

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Pricing of Option on Dividend-paying Stock in a Fractional Brownian Motion Environment by Martingale Analysis — Research Paper | ScholarLens