2010•Journal of Hefei University of TechnologyRequires access

Pricing of two kinds of exotic options in Fractional Brownian Motion environment

Wang Jian-jun

Abstract

In this paper Fractional Brownian Motion and Geometric Fractional Brownian Motion are briefly introduced at first.Then Geometric Fractional Brownian Motion model is employed to describe the changes of the prices of financial instrument.Under the hypothesis of underlying asset price submitted to Geometric Fractional Brownian Motion,the pricing formulas of two kinds of exotic options are obtained by means of the generalized pricing formula of European contingent claim.

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Key concepts: Fractional Brownian motion, Geometric Brownian motion, Brownian motion, Mathematics, Brownian excursion, Asset (computer security), Mathematical economics, Applied mathematics