ScholarLens Back to search
2009•College MathematicsRequires access

Power Option Pricing in a Fractional Brownian Motion

Haiyuan Liu

Open publisher page 0 citations

Abstract

By applying equivaient martingaie measure.We derive the pricing iormuias for power option and call-put parity when underlying assets are driven by Fractional Brownian Motion.The conciusion will be compared with the classical resuits based on standard Brownian Motion.We point out that standard Brownian Motion is an especial case of Fractional Brownian Motion.The quondam option pricing model can be generalized.

About this research paper

What this paper is about

By applying equivaient martingaie measure.We derive the pricing iormuias for power option and call-put parity when underlying assets are driven by Fractional Brownian Motion.The conciusion will be compared with the classical resuits based on standard Brownian Motion.We point out that standard Brownian Motion is an especial case of Fractional Brownian Motion.The quondam option pricing model can be generalized.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

By applying equivaient martingaie measure.We derive the pricing iormuias for power option and call-put parity when underlying assets are driven by Fractional Brownian Motion.The conciusion will be compared with the classical resuits based on standard Brownian Motion.We point out that standard Brownian Motion is an especial case of Fractional Brownian Motion.The quondam option pricing model can be generalized.

Key concepts: Fractional Brownian motion, Mathematics, Geometric Brownian motion, Brownian motion, Brownian excursion, Reflected Brownian motion, Martingale representation theorem, Heavy traffic approximation

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Power Option Pricing in a Fractional Brownian Motion — Research Paper | ScholarLens