2008•Nanjing Xiaozhuang Xueyuan xuebaoRequires access
The Exchange Option of Pricing Underlying Asset Price Submitted to the Geometric Fractional Brownian Motion
Qizhi He
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Abstract
Under the hypothesis of stock submitted to the Geometric Fractional Brownian Motion,the price of European exchange option is obtained and meanwhile,it is compared with the Normal Brownian Motion.The results have shown that the B-S model is a special case of the Fractional Brownian Motion.