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2010•Journal of Shanghai Normal UniversityRequires access

Pricing formulae for European option under fractional Brownian motion based on stochastic interest rate

Zhang Ji-zhou

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Abstract

The model of zero coupon bond is given under the fractional Brownian motion.The model and pricing formula for the European call option under the fractional Brownian motion are also given using the method of PDE.

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What this paper is about

The model of zero coupon bond is given under the fractional Brownian motion.The model and pricing formula for the European call option under the fractional Brownian motion are also given using the method of PDE.

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Available abstract

The model of zero coupon bond is given under the fractional Brownian motion.The model and pricing formula for the European call option under the fractional Brownian motion are also given using the method of PDE.

Key concepts: Fractional Brownian motion, Brownian motion, Mathematics, Geometric Brownian motion, Reflected Brownian motion, Zero (linguistics), Brownian excursion, Diffusion process

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