Lin Hanya
Abstract
Based on the underlying driven by a fractional Brownian motion,formulas of pricing put option on a call option and other three kinds of compound options paying dividend are derived by risk neutral valuation.They are similar to the results based on the standard Brownian motion model.
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Based on the underlying driven by a fractional Brownian motion,formulas of pricing put option on a call option and other three kinds of compound options paying dividend are derived by risk neutral valuation.They are similar to the results based on the standard Brownian motion model.
Key concepts: Fractional Brownian motion, Valuation (finance), Geometric Brownian motion, Brownian motion, Valuation of options, Dividend, Econometrics, Mathematics