2012•Journal of Guizhou Normal UniversityRequires access
Exchange option pricing in mixed fractional Brownian motion environment
Mingxuan Shen
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Abstract
The problem of pricing exchange options in mixed fractional Brownian motion environment is considered.Under the condition that the two stock pricing processes obey the stochastic differential equation driven by mixed fractional Brownian motion,the pricing formula of exchange options is obtained by insurance actuary pricing.